CVaR Portfolio Optimization
version 2.0.0 (263 KB) by
MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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
Cite As
MathWorks Quant Team (2022).CVaR Portfolio Optimization(//www.tianjin-qmedu.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved.
MATLAB Release Compatibility
Created with R2018a
Compatible with R2018a and later releases
Platform Compatibility
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