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CVaR Portfolio Optimization

3.3 | 3 ratings Rate this file 18 Downloads (last 30 days) File Size: 4.63 KB File ID: #38288 Version:
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CVaR Portfolio Optimization


Seth DeLand (view profile)


26 Sep 2012 (Updated )

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

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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 release MATLAB 8.0 (R2012b)
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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.

06 Dec 2013 1.3

Minor code cleanup, fixed some typos in comments.

01 Sep 2016

Updated license

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