Documentation

Create Portfolio

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

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

Using Objects

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

Functions

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