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CVaR-optimization

于 2021-01-06 发布 文件大小:7KB
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下载积分: 1 下载次数: 31

代码说明:

  计算CVaR值并在CVaR最小化的前提下求解资产组合的权重问题(CVaR optimal)

文件列表:

CVaR optimization
.................\CVaR optimization
.................\.................\functions
.................\.................\.........\CVaROptimization.asv,2471,2017-01-17
.................\.................\.........\CVaROptimization.m,2471,2014-02-12
.................\.................\READ ME FIRST.txt,1619,2014-02-12
.................\.................\scripts
.................\.................\.......\CVaR_fmincon.m,1942,2014-02-12
.................\.................\.......\CVaR_fmincon_variousR0.m,1983,2014-02-12
.................\license.txt,1320,2014-02-12

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