View License

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Highlights from
CVaR Portfolio Optimization

Join the 15-year community celebration.

Play games and win prizes!

» Learn more

3.33333
3.3 | 3 ratings Rate this file 24 Downloads (last 30 days) File Size: 4.63 KB File ID: #38288 Version: 1.3.0.1
image thumbnail

CVaR Portfolio Optimization

by

Seth DeLand (view profile)

 

26 Sep 2012 (Updated )

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

| Watch this File

File Information
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 and Machine Learning Toolbox
MATLAB
MATLAB release MATLAB 8.0 (R2012b)
Tags for This File   Please login to tag files.
Please login to add a comment or rating.
Comments and Ratings (3)
25 Aug 2016 Barney

Barney (view profile)

 
27 Dec 2015 Mosif Khan  
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 1.3

Minor code cleanup, fixed some typos in comments.

01 Sep 2016 1.3.0.1

Updated license

Contact us