CVaR Portfolio Optimization mathematical formulas

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Agne
Agne 2024-12-1
回答： Supraja 2024-12-9
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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回答（1 个）

Supraja
Supraja 2024-12-9
Hi Agne,
Please have a look at the CVaR matlab documentation which explains about CVaR and also has some examples on the same:
https://in.mathworks.com/matlabcentral/fileexchange/91845-obtaining-image-from-raw-mri-data/
Thanks!

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