CVaR Portfolio Optimization

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object

Version 2.0.0 (263 KB)
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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

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Cite As

MathWorks Quant Team (2026). CVaR Portfolio Optimization (https://ch.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved .

Categories

Find more on Portfolio Optimization and Asset Allocation in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with R2018a and later releases

Platform Compatibility

  • Windows
  • macOS
  • Linux
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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