Working with a Riskless Asset

The PortfolioCVaR object has a separate RiskFreeRate property that stores the rate of return of a riskless asset. Thus, you can separate your universe into a riskless asset and a collection of risky assets. For example, assume that your riskless asset has a return in the scalar variable r0, then the property for the RiskFreeRate is set using the PortfolioCVaR object:

r0 = 0.01/12;

p = PortfolioCVaR;
p = PortfolioCVaR('RiskFreeRate', r0);
disp(p.RiskFreeRate)

8.3333e-04

See Also

PortfolioCVaR | setCosts | setProbabilityLevel | setScenarios | estimatePortVaR | simulateNormalScenariosByMoments | simulateNormalScenariosByData

Related Examples

• Asset Returns and Scenarios Using PortfolioCVaR Object
• Working with Transaction Costs
• Creating the PortfolioCVaR Object
• Working with CVaR Portfolio Constraints Using Defaults
• Validate the CVaR Portfolio Problem
• Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR Object
• Estimate Efficient Frontiers for PortfolioCVaR Object
• Hedging Using CVaR Portfolio Optimization
• Compute Maximum Reward-to-Risk Ratio for CVaR Portfolio

More About

• PortfolioCVaR Object
• Portfolio Optimization Theory
• PortfolioCVaR Object Workflow

External Websites

• Getting Started with Portfolio Optimization (4 min 13 sec)
• CVaR Portfolio Optimization (4 min 56 sec)