optimal.portfolio.expected.shortfall function

Portfolio Optimization minimizing Conditional Value at Risk (CVaR)

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)

Arguments

• model: the portfolio.model to compute the portfolio of

Returns

the portfolio.model including the newly computed optimal portfolio

Author(s)

Ronald Hochreiter, ronald@algorithmic.finance