Create Portfolio

Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization

For information about creating a PortfolioCVaR object, seeCVaR Portfolio Optimization (4 min 56 sec).

Objects

PortfolioCVaR Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

`setAssetList`	Set up list of identifiers for assets
`setInitPort`	Set up initial or current portfolio
`setDefaultConstraints`	Set up portfolio constraints with nonnegative weights that sum to 1
`setProbabilityLevel`	Set probability level for VaR and CVaR calculations

Creating the PortfolioCVaR Object
To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.
Common Operations on the PortfolioCVaR Object
为建立PortfolioC常用操作VaR object.
Setting Up an Initial or Current Portfolio
The PortfolioCVaR object propertyInitPortlets you identify an initial or current portfolio.

Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
PortfolioCVaR Object
Using the PortfolioCVaR object and associated functions for portfolio optimization.
PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.
When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.

Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB (50 min 42 sec)