This Case Study includes three problems:

 

Solution of Problem in MATLAB

 

Formal Problem

Statement

M-file implementing the Problem

Problem_1

 

Optimization Problem 1 (CS.1-CS.3)

CS_Drawdown_Deviation_Maximum_Single_Path.m

Problem_2

 

Optimization Problem 2 (CS.4-CS.6)

CS_Drawdown_Deviation_Average_Single_Path.m

Problem_3

 

Optimization Problem 3 (CS.7-CS.9)

CS_CDaR_Single_Path.m