Conditional Value-at-Risk Portfolio Optimization

Create PortfolioCVaR object, evaluate composition of assets, perform CVaR portfolio optimization

Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. For information about Conditional Value-at-Risk (CVaR) portfolio optimization, see Portfolio Optimization Theory.

Categories

Create Portfolio
Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization
Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
Specify Portfolio Constraints
Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints
Validate Portfolio
Identify errors for the portfolio specification
Estimate Efficient Portfolios and Frontiers
Analyze efficient portfolios and efficient frontiers for portfolio
Postprocessing Results
Use efficient portfolios and efficient frontiers results to set up trades