optimal.portfolio.expected.shortfall {portfolio.optimization}

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, [e-mail]