MathWorks - Mobile View
  • Sign In to Your MathWorks AccountSign In to Your MathWorks Account
  • Access your MathWorks Account
    • My Account
    • My Community Profile
    • Link License
    • Sign Out
  • Products
  • Solutions
  • Academia
  • Support
  • Community
  • Events
  • Get MATLAB
MathWorks
  • Products
  • Solutions
  • Academia
  • Support
  • Community
  • Events
  • Get MATLAB
  • Sign In to Your MathWorks AccountSign In to Your MathWorks Account
  • Access your MathWorks Account
    • My Account
    • My Community Profile
    • Link License
    • Sign Out

Videos and Webinars

  • MathWorks
  • Videos
  • Videos Home
  • Search
  • Videos Home
  • Search
  • Contact sales
  • Trial software
  Register to watch video
  • Description
  • Related Resources

CVaR Portfolio Optimization

Kawee Numpacharoen, MathWorks

Portfolio optimization is a mathematical approach to making investment decisions across a collection of financial instruments or assets. The goal of portfolio optimization is to find the mix of investments that achieve a desired risk versus return tradeoff. The conventional method for portfolio optimization is mean-variance portfolio optimization, which is based on the assumption that returns are normally distributed.

On the other hand, conditional value-at-risk (CVaR) is the extended risk measure of value-at-risk that quantifies the average loss over a specified time period of scenarios beyond the confidence level. For example, a one-day 99% CVaR of $12 million means the expected loss of the worst 1% scenarios over a one-day period is $12 million. Moreover, CVaR is also known as expected shortfall.

With CVaR portfolio optmization, you do not need to assume normally distributed returns. In this example, you will learn:

  1. How to use copula to generate correlated asset scenarios that try to mimic the pattern of historical returns
  2. How to apply CVaR portfolio optimization based on simulated asset scenarios
  3. How to compare the efficient frontiers between CVaR portfolio optimization and mean-variance portfolio optimization

Related Products

  • Financial Toolbox
  • MATLAB
  • Optimization Toolbox
  • Statistics and Machine Learning Toolbox

Learn More

Download code
Related Information
Free MATLAB Trial for Quantitative Finance and Risk Management

Feedback

Featured Product

Financial Toolbox

  • Request Trial
  • Get Pricing

Up Next:

50:42
Analyzing Investment Strategies with CVaR Portfolio...

Related Videos:

4:12
Getting Started with Portfolio Optimization
49:45
"The Prayer" - Ten-Step Checklist for Advanced Risk and...
10:46
Mathematical Modeling with Optimization, Part 2b:...
6:08
Introduction to Optimization Graphical User Interface

View more related videos

MathWorks - Domain Selector

Select a Web Site

Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .

Select web site

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

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
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • Contact sales
  • Trial software

Explore Products

  • MATLAB
  • Simulink
  • Student Software
  • Hardware Support
  • File Exchange

Try or Buy

  • Downloads
  • Trial Software
  • Contact Sales
  • Pricing and Licensing
  • How to Buy

Learn to Use

  • Documentation
  • Tutorials
  • Examples
  • Videos and Webinars
  • Training

Get Support

  • Installation Help
  • Answers
  • Consulting
  • License Center
  • Contact Support

About MathWorks

  • Careers
  • Newsroom
  • Social Mission
  • Contact Sales
  • About MathWorks

MathWorks

Accelerating the pace of engineering and science

MathWorks is the leading developer of mathematical computing software for engineers and scientists.

Discover…

  • Select a Web Site United States
  • Patents
  • Trademarks
  • Privacy Policy
  • Preventing Piracy
  • Application Status

© 1994-2021 The MathWorks, Inc.

  • Facebook
  • Twitter
  • Instagram
  • YouTube
  • LinkedIn
  • RSS

Join the conversation