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Code covered by the BSD License

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5.0 | 3 ratings Rate this file 45 Downloads (last 30 days) File Size: 5.83 KB File ID: #19907

CVaR optimization

13 May 2008 (Updated 26 Aug 2008)

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR

File Information
Description	Estimate optimal portfolios by minimizing CvaR. Read the file "Read me first" for instructions
Required Products	Optimization Toolbox
MATLAB release	MATLAB 7.2 (R2006a)

Tags for This File
Everyone's Tags	analysis(3), conditional value at risk(2), expected shortfall, finance, market risk, modeling
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Comments and Ratings (4)
19 May 2008	George Drogalas	Works nice
19 Aug 2008	Binh DAO	nice code
22 Sep 2009	xie baohua	Very good!.It helps me a lot.Thanks!
24 Aug 2011	Liam Mescall	Very helpful.Thanks

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Updates
21 May 2008	Scripts and function for estimating optimal portfolios
19 Aug 2008	The new scripts and functions allow short positions
19 Aug 2008	One new function CvaROptimizationSP.m is added. The new scripts and functions allow for both short and long positions
19 Aug 2008	two new files added. Short positions are allowed!
21 Aug 2008	a bug was found. The scripts didn't take account of the LB's. Bag is corrected
26 Aug 2008	a bug about short position is now fixed