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

Portfolio Optimization minimizing Conditional Value at Risk (CVaR) with active extensions

Description

optimal.portfolio.expected.shortfall.long.short conducts a Portfolio Optimization minimizing Conditional Value at Risk (CVaR) based on Rockafellar and Uryasev (2001) with active extensions

Usage

optimal.portfolio.expected.shortfall.long.short(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]