CVaR Portfolio Optimization

Version 2.0.0 (263 KB) by MathWorks Quant Team
Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object
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3.9K Downloads
Updated 18 Sep 2018

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This example shows a Conditional Value at Risk (CVaR) portfolio optimization workflow, which includes:
* How to simulate asset scenarios based on normal distribution and the empirical distribution
* How to construct a portfolio using PortfolioCVaR object
* How to evaluate the efficient frontier
* How to extract the portfolio weights
* How to calculate CVaR of the portfolio

Cite As

MathWorks Quant Team (2024). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018a
Compatible with R2018a and later releases
Platform Compatibility
Windows macOS Linux
Categories
Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers

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Version Published Release Notes
2.0.0

Major update for the example using newer capabilities of MATLAB and Toolboxes
1.3.0.1

Updated license
1.3.0.0

Minor code cleanup, fixed some typos in comments.
1.0.0.0