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CVaR Portfolio Optimization

version 2.0.0 (263 KB) by MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

3.3K Downloads

Updated 18 Sep 2018

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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

Cite As

MathWorks Quant Team (2021). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018a
Compatible with R2018a and later releases
Platform Compatibility
Windows macOS Linux

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