CVaR Portfolio Optimization

版本 2.0.0 (263.0 KB) 作者: MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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更新时间 2018/9/18

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This example shows a Conditional Value at Risk (CVaR) portfolio optimization workflow, which includes:
* How to simulate asset scenarios based on normal distribution and the empirical distribution
* How to construct a portfolio using PortfolioCVaR object
* How to evaluate the efficient frontier
* How to extract the portfolio weights
* How to calculate CVaR of the portfolio

引用格式

MathWorks Quant Team (2024). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. 检索来源 .

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版本 已发布 发行说明
2.0.0

Major update for the example using newer capabilities of MATLAB and Toolboxes
1.3.0.1

Updated license
1.3.0.0

Minor code cleanup, fixed some typos in comments.
1.0.0.0