cvar portfolio optimization video -凯发k8网页登录
portfolio optimization is a mathematical approach to making investment decisions across a collection of financial instruments or assets. the goal of portfolio optimization is to find the mix of investments that achieve a desired risk versus return tradeoff. the conventional method for portfolio optimization is mean-variance portfolio optimization, which is based on the assumption that returns are normally distributed.
on the other hand, conditional value-at-risk (cvar) is the extended risk measure of value-at-risk that quantifies the average loss over a specified time period of scenarios beyond the confidence level. for example, a one-day 99% cvar of $12 million means the expected loss of the worst 1% scenarios over a one-day period is $12 million. moreover, cvar is also known as expected shortfall.
with cvar portfolio optmization, you do not need to assume normally distributed returns. in this example, you will learn:
- how to use copula to generate correlated asset scenarios that try to mimic the pattern of historical returns
- how to apply cvar portfolio optimization based on simulated asset scenarios
- how to compare the efficient frontiers between cvar portfolio optimization and mean-variance portfolio optimization
related products
learn more
您也可以从以下列表中选择网站:
如何获得最佳网站性能
选择中国网站(中文或英文)以获得最佳网站性能。其他 mathworks 国家/地区网站并未针对您所在位置的访问进行优化。
美洲
- (español)
- (english)
- (english)
欧洲
- (english)
- (english)
- (deutsch)
- (español)
- (english)
- (français)
- (english)
- (italiano)
- (english)
- (english)
- (english)
- (deutsch)
- (english)
- (english)
- switzerland
- (english)
亚太
- (english)
- (english)
- (english)
- 中国
- (日本語)
- (한국어)