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CVaR optimization

version 1.0 (5.83 KB) by

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

4.33333
6 Ratings

15 Downloads

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Estimate optimal portfolios by minimizing CvaR. Read the file "Read me first" for instructions

Comments and Ratings (7)

Tom Collomb

Barney

Barney (view profile)

Alper Yaman

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

Liam Mescall

Very helpful.Thanks

xie baohua

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

Binh DAO

nice code

George Drogalas

Works nice

Updates

a bug was found. The scripts didn't take account of the LB's. Bag is corrected

two new files added. Short positions are allowed!

One new function CvaROptimizationSP.m is added. The new scripts and functions allow for both short and long positions

The new scripts and functions allow short positions

Scripts and function for estimating optimal portfolios

MATLAB Release
MATLAB 7.2 (R2006a)

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CVaR optimization/functions/

CVaR optimization/scripts/