Mean-ValueAtRisk Optimization

Version 1.0.0.0 (1.06 MB) by Riccardo Brignone
This library contains MVaRP object (MeanValueatRiskPortfolio).
5.0
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221 Downloads
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 (2024). Mean-ValueAtRisk Optimization (https://www.mathworks.com/matlabcentral/fileexchange/59630-mean-valueatrisk-optimization), MATLAB Central File Exchange. Retrieved .

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

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Version Published Release Notes
1.0.0.0

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