清空筛选条件
清空筛选条件

How to calculate CVaR in function Portfolio

2 次查看（过去 30 天）
Ale
Ale 2014-5-28
Hi everyone,
I have a part of code like this:
pMarkowitz = Portfolio('assetmean', m, 'assetcovar', c, 'lowerbudget', 1, 'upperbudget', 1, 'lowerbound', 0);
pwgt_Markowitz = pMarkowitz.estimateFrontierLimits('Min');
How can I calculate the CVaR of my portfolio?
Is there something already built in Matlab or is mandatory to write a new function?? Could you help me with that??
Thanks a lot to everyone!

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Portfolio Optimization and Asset Allocation 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by