optimal.portfolio.expected.shortfall

<p>the portfolio.model to compute the portfolio of</p>

model

<p><code>optimal.portfolio.expected.shortfall</code> conducts a Portfolio Optimization
minimizing Conditional Value at Risk (CVaR) based on Rockafellar and 
Uryasev (2001)</p>

Simplify your portfolio optimization process by applying a contemporary modeling way to model and solve your portfolio problems. While most approaches and packages are rather complicated this one tries to simplify things and is agnostic regarding risk measures as well as optimization solvers. Some of the methods implemented are described by Konno and Yamazaki (1991) <doi:10.1287/mnsc.37.5.519>, Rockafellar and Uryasev (2001) <doi:10.21314/JOR.2000.038> and Markowitz (1952) <doi:10.1111/j.1540-6261.1952.tb01525.x>.

Ronald Hochreiter

optimal.portfolio.expected.shortfall: Portfolio Optimization minimizing Conditional Value at Risk (CVaR)

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