Conditional Value-at-Risk Portfolio Optimization
Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. Conditional Value-at-Risk (CVaR) is a risk assessment metric that provides an estimate of the expected loss of a portfolio in the worst-case scenarios beyond a specified confidence level. For information about CVaR portfolio optimization, see Portfolio Optimization Theory.
Categories
- Create Portfolio
Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization
- Asset Returns and Scenarios
Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data
- Specify Portfolio Constraints
Define constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, and turnover constraints
- Validate Portfolio
Identify errors for the portfolio specification
- Estimate Efficient Portfolios and Frontiers
Analyze efficient portfolios and efficient frontiers for portfolio
- Postprocessing Results
Use efficient portfolios and efficient frontiers results to set up trades
