PortfolioCVaR Object Workflow

The PortfolioCVaR object workflow for creating and modeling a CVaR portfolio is:

  1. Create a CVaR Portfolio.

    Create a PortfolioCVaR object for conditional value-at-risk (CVaR) portfolio optimization. For more information, see Creating the PortfolioCVaR Object.

  2. Define asset returns and scenarios.

    Evaluate scenarios for portfolio asset returns, including assets with missing data and financial time series data. For more information, see Asset Returns and Scenarios Using PortfolioCVaR Object.

  3. Specify the CVaR Portfolio Constraints.

    Define the constraints for portfolio assets such as linear equality and inequality, bound, budget, group, group ratio, turnover constraints, 'Conditional' BoundType, and MinNumAssets, MaxNumAssets constraints. For more information, see Working with CVaR Portfolio Constraints Using Defaults and Working with 'Conditional' BoundType, MinNumAssets, and MaxNumAssets Constraints Using PortfolioCVaR Objects.

  4. Validate the CVaR Portfolio.

    Identify errors for the portfolio specification. For more information, see Validate the CVaR Portfolio Problem.

  5. Estimate the efficient portfolios and frontiers.

    Analyze the efficient portfolios and efficient frontiers for a CVaR portfolio. For more information, see Estimate Efficient Portfolios for Entire Frontier for PortfolioCVaR Object and Estimate Efficient Frontiers for PortfolioCVaR Object.

  6. Postprocess the results.

    Use the efficient portfolios and efficient frontiers results to set up trades. For more information, see Postprocessing Results to Set Up Tradable Portfolios.

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