VaR vs CVaR in Risk Management and Optimization

Version 1.0.0.0 (229 KB) by Gaia Serraino
Case studies on VaR and CVaR optimization
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Updated 2 Oct 2008

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The files in this folder solve the optimization case studies described in the paper "VaR vs CVaR in Risk Management and Optimization" by Sarykalin,S., Serraino,G., and Uryasev,S., in Tutorials in Operations Research, INFORMS 2008 (download www.ise.ufl.edu/uryasev/VaR_vs_CVaR_INFORMS.pdf ).
Optimization problems are solved with Portfolio Safeguard (PSG) MATLAB subroutines developed by American Optimal Decisions (www.aorda.com). We show how to use PSG MATLAB functions: riskprog, riskconstrprog, functionvalue and others.

Cite As

Gaia Serraino (2024). VaR vs CVaR in Risk Management and Optimization (https://www.mathworks.com/matlabcentral/fileexchange/21650-var-vs-cvar-in-risk-management-and-optimization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2007b
Compatible with any release
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PSG_VaR_vs_CVaR/

Version Published Release Notes
1.0.0.0