What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?
조회 수: 8(최근 30일)
표시 이전 댓글
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!
Gayatri Menon 2018년 6월 28일
The following link might help you get started:
Find more on Portfolio Optimization and Asset Allocation in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!