For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (4 min 56 sec).
|Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis|
To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.
Common operations for setting up a PortfolioCVaR object.
The PortfolioCVaR object property
InitPort lets you
identify an initial or current portfolio.
Portfolios are points from a feasible set of assets that constitute an asset universe.
Using the PortfolioCVaR object and associated functions for portfolio optimization.
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.