Create Portfolio

Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization

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For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (5 min 33 sec)

Classes

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

Functions

setAssetList Set up list of identifiers for assets for PortfolioCVaR object
setInitPort Set up initial or current portfolio for PortfolioCVaR object
setDefaultConstraints Set up portfolio constraints with nonnegative weights that sum to 1 for PortfolioCVaR object
setProbabilityLevel Set probability level for VaR and CVaR calculations
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