CVaR Portfolio Optimization

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

版本 2.0.0 (263.0 KB)
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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 (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 and 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
1.3.0.1

Updated license
1.3.0.0

Minor code cleanup, fixed some typos in comments.
1.0.0.0