CVaR Portfolio Optimization

버전 2.0.0 (263 KB) 작성자: MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

다운로드 수: 3.6K

업데이트 날짜: 2018/9/18

라이선스 보기

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

인용 양식

MathWorks Quant Team (2022). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. 검색됨 .

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개발 환경: R2018a
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