Optimize a portfolio using cvar optimization

Assignment Help MATLAB Programming

Reference no: EM133128891

Question: The task is to optimize a portfolio using CVaR optimization (references Krokhmal, Palmquist, and Uryasev,...Rockafellar and Uryasev) on matlab for the dataset attached. This is done by using an estimation window of, say, 10 years starting at 1980, then testing the performance of the portfolio out-of-sample for the remaining years.

The CVaR portfolio will be compared to the an equally weighted portfolio, so a portfolio with weights 1/12 in all assets, and a Markowitz mean-variance optimized portfolio (both of these for the same estimation period and out-of-sample). This task is 1000 words.

The attached dataset is the monthly returns of 12 industry portfolios (the assets to make up the optimized portfolios), withj an additional market index and risk free rate. The returns are in percentage so will need to be divided by 100 to be used for portfolio estimation.

Attachment:- IndustryPortfolios.rar

Reference no: EM133128891

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