Create Portfolio
For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (4 min 56 sec).
Objects
PortfolioCVaR | Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis |
Functions
setAssetList | Set up list of identifiers for assets |
setInitPort | Set up initial or current portfolio |
setDefaultConstraints | Set up portfolio constraints with nonnegative weights that sum to 1 |
setProbabilityLevel | Set probability level for VaR and CVaR calculations |
Examples and How To
- Creating the PortfolioCVaR Object
To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.
- Common Operations on the PortfolioCVaR Object
Common operations for setting up a PortfolioCVaR object.
- Setting Up an Initial or Current Portfolio
The PortfolioCVaR object property
InitPort
lets you identify an initial or current portfolio.
Concepts
- Portfolio Optimization Theory
Portfolios are points from a feasible set of assets that constitute an asset universe.
- PortfolioCVaR Object
Using the PortfolioCVaR object and associated functions for portfolio optimization.
- PortfolioCVaR Object Workflow
PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.
- When to Use Portfolio Objects Over Optimization Toolbox
The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.