CVaR Portfolio Optimization mathematical formulas
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Hi,
I'm doing the CVaR Portfolio Optimization using the instructions on Mathworks (link to example). The code works great, but could someone explain me the mathematics behind this example. In essance I know that it comapres mean-variance and CVaR optimization methods, but formulas and mathematical intuition would help to get a better understanding.
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Supraja
2024-12-9
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Hi Agne,
Please have a look at the CVaR matlab documentation which explains about CVaR and also has some examples on the same:
Thanks!
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