Mean-ValueAtRisk Optimization
This library contains MVaRP object (MeanValueatRiskPortfolio).
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This library contains MVaRP object (MeanValueatRiskPortfolio). It allows to asses portfolio optimization for different definitions of ValueAtRisk (Historical, Normal, Generalized Pareto)
Cite As
Riccardo Brignone (2026). Mean-ValueAtRisk Optimization (https://in.mathworks.com/matlabcentral/fileexchange/59630-mean-valueatrisk-optimization), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (1.06 MB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | Icon Added |
