optimal.portfolio.expected.shortfall {portfolio.optimization} | R Documentation |
optimal.portfolio.expected.shortfall
conducts a Portfolio Optimization
minimizing Conditional Value at Risk (CVaR) based on Rockafellar and
Uryasev (2001)
optimal.portfolio.expected.shortfall(model)
model |
the portfolio.model to compute the portfolio of |
the portfolio.model including the newly computed optimal portfolio
Ronald Hochreiter, ronald@algorithmic.finance