CVaR Portfolio Optimization
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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- 정보 수신 기본 설정에 따라 이메일을 받을 수 있습니다
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 (2026). CVaR Portfolio Optimization (https://kr.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. 검색 날짜: .
