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CVaR optimization

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5.0 | 4 ratings Rate this file 50 Downloads (last 30 days) File Size: 5.83 KB File ID: #19907
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CVaR optimization

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13 May 2008 (Updated )

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

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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)
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Comments and Ratings (5)
16 Apr 2013 Alper Yaman

Thanks for this code. Are you planning to implement CVaR constraints (BuyCost, SellCost, BuyTurnover, SellTurnover, RiskFreeRate, UpperBudget, LowerBudget etc.)?

24 Aug 2011 Liam Mescall

Very helpful.Thanks

22 Sep 2009 xie baohua

Very good!.It helps me a lot.Thanks!

19 Aug 2008 Binh DAO

nice code

19 May 2008 George Drogalas

Works nice

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

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