CVaR Portfolio Optimization

Version 2.0.0 (263 KB) by MathWorks Quant Team

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

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Updated Tue, 18 Sep 2018 19:43:40 +0000

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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

Cite As

MathWorks Quant Team (2023). CVaR Portfolio Optimization (https://www.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved December 10, 2023.

MATLAB Release Compatibility

Created with R2018a

Compatible with R2018a and later releases

Platform Compatibility

Windows macOS Linux

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CVaR_Portfolio_Optimization.mlx

Version	Published	Release Notes
2.0.0	18 Sep 19:43	Major update for the example using newer capabilities of MATLAB and Toolboxes	Download
1.3.0.1	01 Sep 15:21	Updated license	Download
1.3.0.0	06 Dec 20:51	Minor code cleanup, fixed some typos in comments.	Download
1.0.0.0	26 Sep 20:15		Download