|Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis|
|Obtain scenarios from portfolio object|
|Set asset returns scenarios by direct matrix|
|Estimate mean and covariance of asset return scenarios|
|Simulate multivariate normal asset return scenarios from mean and covariance of asset returns|
|Simulate multivariate normal asset return scenarios from data|
|Set up proportional transaction costs|
Given a sample of scenarios, the conditional expectation that defines the sample CVaR of the portfolio is expressed as a finite sum, a weighted average of losses.
The PortfolioCVaR object has a separate
property that stores the rate of return of a riskless asset.
The difference between net and gross portfolio returns is transaction costs.
This example shows how to model two hedging strategies using CVaR portfolio optimization with a
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.