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updated 6 years ago

CVaR optimization by Manthos Vogiatzoglou

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR (finance, modeling, analysis)

[fval,w]=CVaROptimization(ScenRets, R0, VaR0, beta, UB, ...

CVaR_fmincon.m

CVaR_fmincon_variousR0.m

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