What code is to be used when I want to calculate the CVaR contribution of an assets i to an equally weighted portfolio?
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I know that I have to include the respective correlation factors of each asset i to portfolio but I cannot figure out a proper code. I'd highly appreciate any help!
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Gayatri Menon
am 28 Jun. 2018
Hi,
The following link might help you get started:
Thanks
Gayatri
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