The folder contains two scripts: CVaR_fmincon, and CVaR_fmincon_variousR0

and one function:CVaROptimization and

In order to use the functions you have to create a path to the file, the usual
MATLAB way

If you do not how to do this or you do not want to, just use the scripts, the
CVaR_fmincon does
exactly the same job as the function...

The scripts are designed to estimate the optimal weights and the portfolio VaR and
CVaR for daily returns
(minimization of CVaR based on return constrain, based on method of Uryasev)

In CVaR_fmincon you choose If you want to allow short positions by putting value 0
or 1 to the ShortP variable

In order to run the script(s) for your data set do the following:
1. rename your data file to ScenRets
2. Change the R0 (target return) according to your needs
3. Choose ShortP=0 or 1 If you allow only for long positions or for both long and
short
3. In my code, in order to inforce diversification I placed an upper bound of 25%
to every stock weight (no stock can consist
more than the 25% of the total portfolio value). If you do not want to impose
this constraint change line12
of the CvaR_fmincon to UB=1;

The first file estimates VaR and CvaR for a given R0, while the second estimates
VaR and CVaR for various
R0 and plots the efficient frontier. It also calculates VaR and CVaR for the equaly
waited portfolio

The function CVaROptimization is exactly the same as CvaR_fmincon

For notes - suggestions and bug reports contact me:

manthos vogiatzoglou, PhD candidate, un of Macedonia, Greece, email:

vogia@yahoo.com

enjoy!!