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CVaR Portfolio Optimization

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26 Sep 2012 (Updated )

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

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Description

This example shows a portfolio optimization workflow. Data is imported for large- and small-cap stocks and bond ETF's, then used as scenarios for a CVaR portfolio optimization. A mean-variance portfolio optimization is given for reference, and the efficient frontiers and asset distributions are compared.

Required Products Datafeed Toolbox
Financial Toolbox
Optimization Toolbox
Statistics Toolbox
MATLAB
MATLAB release MATLAB 8.0 (R2012b)
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Comments and Ratings (1)
08 Apr 2013 Annalisa Beato

It's a good example for the PortfolioCVaR object. I had to use tick2ret instead of price2ret.

Updates
06 Dec 2013

Minor code cleanup, fixed some typos in comments.

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