Tag Archives: CVaR

Optimize Portfolio with CVaR in Matlab

Optimize Portfolio with CVaR in Matlab

Conditional value at risk with Matlab demos. Also, includes theorotical segment which shows payoff diagram with distribution and slippage plots. They payoff diagrams are important to me as they focus on risk and tolerance of expected premium, break even, etc which was taught in that UCS futures & options course I did a month ago.


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