<t>thanks for your answer,I know that it is better to write my own code, but I can modify an already one. I checked the paper of Uryasev, and I think that it is difficult to introduce the auxiliary variable as a vector. I used to use a fmincon solver, but I think that it should be better to use the ...

Hello everybody,I need a code that minimize the CVaR with linprog solver, can anybody send to me the code?; I 'll be very grateful;Thanks

<t>here I can describe with more details my problemwhen i try to open the debugger, I find the problem in the try catch statment:switch funfcn{1}case 'fun' try f = feval(funfcn{3},X,varargin{:}); catch error('optim:fminconbjectiveError', ... ['FMINCON cannot continue because user supplied objective ...

<t>Friends,I try to run a code to the portfolio optimization purpose with matlab, I get an error, and I don't know what is my mistakelet's begin step by step:I create two m files:the first one: myfune.m:function f = myfun(x);f = - y()'*expreturn()'; (expreturn is calculated in this mfile, and X is g...

Dear markspenser10, thank you for your interest, but I am looking for a code to implement in matlab or other software.Regards,

Hello every body,I am new in regime switching models; I am intersted by the regime switching model for dynamic correlation (the model of Pelletier 2006), is it possible to find this code? I hope so...Thanks

Hello everybody,I have installed the trial version of PORTFOLIO SAFEGUARD; I have some trouble to use this software, when I contacted the Aorda support, they recommand me to provide them the access to my machine to resolve the problem.What sould I do?

Hello,I need to add VaR function and CVaR to matlab library. Is someone could help me to generate two M-files nadim216

Hello,I would like to resolve a portfolio optimization using mean-VaR and mean-CVaR approachs. I will use historical datais it possible to send to me the codes.nadim216

Hi,I am interested by the implementation of many portfolio optimization:mean-variancemean-VaRmean-ESmean-UBSRI would like to consider normal distribution, historical and extreme value distributionI don't know how to proceed and which software allow me to do this ..NADIM216