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Analyzing Investment Strategies with CVaR Portfolio Optimization

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Analyzing Investment Strategies with CVaR Portfolio Optimization

by

Bob Taylor (view profile)

 

18 Dec 2012 (Updated )

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox.

covered_engine(X, T, mu, sigma, initial_equity, distribution, no_reinvestment, initiating, strike_cushion, contract_expiration, next_contract_expiration, risk_free_rate, stock_cost, contract_cost, exercise_likelihood, confirmation_delay, reinvestment_

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