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Mean-ValueAtRisk Optimization

version (1.06 MB) by Riccardo Brignone
This library contains MVaRP object (MeanValueatRiskPortfolio).


Updated 18 Oct 2016

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This library contains MVaRP object (MeanValueatRiskPortfolio). It allows to asses portfolio optimization for different definitions of ValueAtRisk (Historical, Normal, Generalized Pareto)

Cite As

Riccardo Brignone (2021). Mean-ValueAtRisk Optimization (, MATLAB Central File Exchange. Retrieved .

Comments and Ratings (2)


same question as prior downloader had put forward

Thanks for your contribution, but I have a question, how to obtain the portfolio that maximum performance?

MATLAB Release Compatibility
Created with R2016b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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