CVaR Portfolio Optimization

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

版本 (273.5 KB)
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(12)
2018/9/7
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引用格式

MathWorks Quant Team (2026). CVaR Portfolio Optimization (https://ww2.mathworks.cn/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. 检索时间: .

类别

在 Help Center 和 MATLAB Answers 中查找有关 Portfolio Optimization for Asset Allocation 的更多信息

一般信息

MATLAB 版本兼容性

  • 与 R2018a 及更高版本兼容

平台兼容性

  • Windows
  • macOS
  • Linux
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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
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1.3.0

Updated license
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1.3.0-0

Minor code cleanup, fixed some typos in comments.
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1.0.0

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