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 (2024). 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 >
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Version | Published | Release Notes | |
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1.0.0.0 | Icon Added |