What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?

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JS
JS 2018년 6월 22일
답변: Gayatri Menon 2018년 6월 28일
I know that I have to include the respective correlation factors of each asset i to portfolio but I cannot figure out a proper code. I'd highly appreciate any help!

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답변 (1개)

Gayatri Menon
Gayatri Menon 2018년 6월 28일
Hi,
The following link might help you get started:
https://www.mathworks.com/discovery/conditional-value-at-risk.html
Thanks
Gayatri

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