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setProbabilityLevel

Class: PortfolioCVaR

Set probability level for VaR and CVaR calculations

Syntax

obj = setProbabilityLevel(obj,ProbabilityLevel)

Description

obj = setProbabilityLevel(obj,ProbabilityLevel) to set the probability level for VaR and CVaR calculations.

Tips

Use dot notation to set the probability level for VaR and CVaR calculations:

obj = obj.setProbabilityLevel(ProbabilityLevel)

Input Arguments

obj

CVaR portfolio object [PortfolioCVaR].

ProbabilityLevel

Probability level which is 1 minus the probability of losses greater than the value-at-risk. [scalar].

    Note:   ProbabilityLevel must be a value from 0 to 1 and, in most cases, should be a value from 0.9 to 0.99.

Output Arguments

obj

Updated CVaR portfolio object [PortfolioCVaR].

Attributes

Accesspublic
Staticfalse
Hiddenfalse

To learn about attributes of methods, see Method Attributes in the MATLAB® Object-Oriented Programming documentation.

Examples

expand all

Set Probability Level

Set the ProbabilityLevel for a CVaR portfolio object.

p = PortfolioCVaR;
p = p.setProbabilityLevel(0.95);
disp(p.ProbabilityLevel)
    0.9500

See Also

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