Mean-ValueAtRisk Optimization
Version 1.0.0.0 (1.06 MB) by
Riccardo Brignone
This library contains MVaRP object (MeanValueatRiskPortfolio).
This library contains MVaRP object (MeanValueatRiskPortfolio). It allows to asses portfolio optimization for different definitions of ValueAtRisk (Historical, Normal, Generalized Pareto)
Cite As
Riccardo Brignone (2026). Mean-ValueAtRisk Optimization (https://www.mathworks.com/matlabcentral/fileexchange/59630-mean-valueatrisk-optimization), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Created with
R2016b
Compatible with any release
Platform Compatibility
Windows macOS LinuxCategories
- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Risk Management Toolbox >
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers
Tags
Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
| Version | Published | Release Notes | |
|---|---|---|---|
| 1.0.0.0 | Icon Added |
You can also select a web site from the following list
Americas
- América Latina (Español)
- Canada (English)
- United States (English)
Europe
- Belgium (English)
- Denmark (English)
- Deutschland (Deutsch)
- España (Español)
- Finland (English)
- France (Français)
- Ireland (English)
- Italia (Italiano)
- Luxembourg (English)
- Netherlands (English)
- Norway (English)
- Österreich (Deutsch)
- Portugal (English)
- Sweden (English)
- Switzerland
- United Kingdom (English)
Asia Pacific
- Australia (English)
- India (English)
- New Zealand (English)
- 中国
- 日本Japanese (日本語)
- 한국Korean (한국어)