For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (5 min 33 sec)
|PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis|
|Create PortfolioCVaR object for conditional value-at-risk portfolio optimization|
|Set up list of identifiers for assets|
|Set up initial or current portfolio|
|Set up portfolio constraints with nonnegative weights that sum to 1|
|Set probability level for VaR and CVaR calculations|
To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.
Common operations for setting up a PortfolioCVaR object.
The PortfolioCVaR object property
you identify an initial or current portfolio.
Portfolios are points from a feasible set of assets that constitute an asset universe.
Using the PortfolioCVaR object and associated functions for portfolio optimization.
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.