What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?

3 次查看（过去 30 天）
JS
JS 2018-6-22
回答： Gayatri Menon 2018-6-28
I know that I have to include the respective correlation factors of each asset i to portfolio but I cannot figure out a proper code. I'd highly appreciate any help!

请先登录，再回答此问题。

回答（1 个）

Gayatri Menon
Gayatri Menon 2018-6-28
Hi,
The following link might help you get started:
https://www.mathworks.com/discovery/conditional-value-at-risk.html
Thanks
Gayatri

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