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CVaR Portfolio Optimization

version 1.3.0.1 (4.63 KB) by

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.

Comments and Ratings (4)

Hello,

I am getting this error:Error using yahoo/fetch (line 387)
Unable to return historical data for given security.

Error in CVaRPortfolioOptimizationExample (line 47)
    Price.(bondETFTickers{ii}) = fetch(C,bondETFTickers{ii},...

Barney

Barney (view profile)

Mosif Khan

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

Updates

1.3.0.1

Updated license

1.3

Minor code cleanup, fixed some typos in comments.

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