CVaR Portfolio Optimization

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

Version 2.0.0 (273 KB)
4K Downloads
(12)
7 Sep 2018
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Cite As

MathWorks Quant Team (2026). CVaR Portfolio Optimization (https://se.mathworks.com/matlabcentral/fileexchange/38288-cvar-portfolio-optimization), MATLAB Central File Exchange. Retrieved .

Categories

Find more on Portfolio Optimization for Asset Allocation in Help Center and MATLAB Answers

General Information

MATLAB Release Compatibility

  • Compatible with R2018a and later releases

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
2.0.0

Major update for the example using newer capabilities of MATLAB and Toolboxes
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1.3.0

Updated license
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1.3.0-0

Minor code cleanup, fixed some typos in comments.
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1.0.0

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  • Install in MATLAB

    Requires R2026b and later. Learn more