optimal.portfolio.expected.shortfall {portfolio.optimization} | R Documentation |
Portfolio Optimization minimizing Conditional Value at Risk (CVaR)
Description
optimal.portfolio.expected.shortfall
conducts a Portfolio Optimization
minimizing Conditional Value at Risk (CVaR) based on Rockafellar and
Uryasev (2001)
Usage
optimal.portfolio.expected.shortfall(model)
Arguments
model |
the portfolio.model to compute the portfolio of |
Value
the portfolio.model including the newly computed optimal portfolio
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
[Package portfolio.optimization version 1.0-0 Index]