optimal.portfolio.expected.shortfall.long.short

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

model

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

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