Estimate Efficient Portfolios and Frontiers

Analyze efficient portfolios and efficient frontiers for portfolio

Classes

PortfolioCVaR PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

estimateFrontier Estimate specified number of optimal portfolios on efficient frontier for PortfolioCVaR object
estimateFrontierByReturn Estimate optimal portfolios with targeted portfolio returns for PortfolioCVaR object
estimateFrontierByRisk Estimate optimal portfolios with targeted portfolio risks for PortfolioCVaR object
estimateFrontierLimits Estimate optimal portfolios at endpoints of efficient frontier for PortfolioCVaR object
plotFrontier Plot single efficient frontier for PortfolioCVaR object
estimatePortVaR Estimate value-at-risk for PortfolioCVaR object
estimatePortStd Estimate standard deviation of portfolio returns for PortfolioCVaR object
estimatePortReturn Estimate mean of portfolio returns for PortfolioCVaR object
estimatePortRisk Estimate conditional value-at-risk (CVaR) portfolio risk proxy
setSolver Choose main solver and solver options for CVaR portfolio optimization
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