optimal.portfolio.expected.shortfall.long.short: Portfolio Optimization minimizing Conditional Value at Risk...
In portfolio.optimization: Contemporary Portfolio Optimization
Description
Usage
Arguments
Value
Author(s)
View source: R/optimal.portfolio.expected.shortfall.long.short.R
Description
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
Usage
1
Arguments
model
the portfolio.model to compute the portfolio of
Value
the portfolio.model including the newly computed optimal portfolio
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
portfolio.optimization documentation built on May 2, 2019, 8:16 a.m.
R Package Documentation
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Description Usage Arguments Value Author(s)
View source: R/optimal.portfolio.expected.shortfall.long.short.R
Description
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
Usage
1 |
Arguments
model |
the portfolio.model to compute the portfolio of |
Value
the portfolio.model including the newly computed optimal portfolio
Author(s)
Ronald Hochreiter, ronald@algorithmic.finance
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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