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