Main Content

Conditional Value-at-Risk Portfolio Optimization

Create portfolios, evaluate composition of assets, perform CVaR portfolio optimization

Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. For information about Conditional Value-at-Risk (CVaR) portfolio optimization, see Portfolio Optimization Theory.