PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
getScenarios | Obtain scenarios from portfolio object |
setScenarios | Set asset returns scenarios by direct matrix |
estimateScenarioMoments | Estimate mean and covariance of asset return scenarios |
simulateNormalScenariosByMoments | Simulate multivariate normal asset return scenarios from mean and covariance of asset returns |
simulateNormalScenariosByData | Simulate multivariate normal asset return scenarios from data |
setCosts | Set up proportional transaction costs |
Asset Returns and Scenarios Using PortfolioCVaR Object
Given a sample of scenarios, the conditional expectation that defines the sample CVaR of the portfolio is expressed as a finite sum, a weighted average of losses.
The PortfolioCVaR object has a separate RiskFreeRate
property that stores the rate of return of a riskless asset.
Working with Transaction Costs
The difference between net and gross portfolio returns is transaction costs.
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.