Create Portfolio

Create PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization

For information about creating a PortfolioCVaR object, see CVaR Portfolio Optimization (4 min 56 sec).

Objects

PortfolioCVaR Creates PortfolioCVaR object for conditional value-at-risk portfolio optimization and analysis

`setAssetList`	Set up list of identifiers for assets
`setInitPort`	Set up initial or current portfolio
`setDefaultConstraints`	Set up portfolio constraints with nonnegative weights that sum to 1
`setProbabilityLevel`	Set probability level for VaR and CVaR calculations

To create a fully specified CVaR portfolio optimization problem, instantiate the PortfolioCVaR object using the PortfolioCVaR function.

Common operations for setting up a PortfolioCVaR object.

The PortfolioCVaR object property InitPort lets you identify an initial or current portfolio.

Portfolios are points from a feasible set of assets that constitute an asset universe.

Using the PortfolioCVaR object and associated functions for portfolio optimization.

PortfolioCVaR object workflow for creating and modeling a conditional value-at-risk (CVaR) portfolio.

The three cases for using Portfolio, PortfolioCVaR, PortfolioMAD object are: always use, preferred use, and use Optimization Toolbox.