Create Portfolio

Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization

For information about creating a PortfolioCVaR object, see Analyzing Investment Strategies with CVaR Portfolio Optimization in MATLAB (50 min 42 sec).

Objects

PortfolioCVaRCreates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

Functions

setAssetListSet up list of identifiers for assets
setInitPortSet up initial or current portfolio
setDefaultConstraintsSet up portfolio constraints with nonnegative weights that sum to 1
setProbabilityLevelSet probability level for VaR and CVaR calculations

Examples and How To

Creating the PortfolioCVaR Object

To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.

Common Operations on the PortfolioCVaR Object

Common operations for setting up a PortfolioCVaR object.

Setting Up an Initial or Current Portfolio

The PortfolioCVaR object property InitPort lets you identify an initial or current portfolio.

Concepts

Portfolio Optimization Theory

Portfolios are points from a feasible set of assets that constitute an asset universe.

PortfolioCVaR Object

Using the PortfolioCVaR object and associated functions for portfolio optimization.

PortfolioCVaR Object Workflow

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.