资产收益和方案
对象
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
函数
getScenarios | Obtain scenarios from portfolio object |
setScenarios | Set asset returns scenarios by direct matrix |
estimateScenarioMoments | Estimate mean and covariance of asset return scenarios |
simulateNormalScenariosByMoments | Simulate multivariate normal asset return scenarios from mean and covariance of asset returns |
simulateNormalScenariosByData | Simulate multivariate normal asset return scenarios from data |
setCosts | Set up proportional transaction costs for portfolio |
示例和操作指南
- Asset Returns and Scenarios Using PortfolioCVaR Object
Given a sample of scenarios, the conditional expectation that defines the sample CVaR of the portfolio is expressed as a finite sum, a weighted average of losses.
- Working with a Riskless Asset
The PortfolioCVaR object has a separate
RiskFreeRate
property that stores the rate of return of a riskless asset. - Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
- Hedging Using CVaR Portfolio Optimization
This example shows how to model two hedging strategies using CVaR portfolio optimization with a
PortfolioCVaR
object.
概念
- PortfolioCVaR 对象工作流
用于创建和建模条件风险值 (CVaR) 投资组合的 PortfolioCVaR 对象工作流。
- When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.