Description Usage Arguments Value Author(s)
View source: R/optimal.portfolio.expected.shortfall.R
optimal.portfolio.expected.shortfall
conducts a Portfolio Optimization
minimizing Conditional Value at Risk (CVaR) based on Rockafellar and
Uryasev (2001)
1 |
model |
the portfolio.model to compute the portfolio of |
the portfolio.model including the newly computed optimal portfolio
Ronald Hochreiter, ronald@algorithmic.finance
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