%This case study demonstrates a simple (basic) setup of a single-period
%portfolio optimization problem when risk is measured by CVaR. 

clear;
format long;
load('ThisData', 'Hmatr', 'dmatr', 'Aeqmatr', 'beqvec', 'lbvec');

[xout, fval, exitflag, output] = riskprog('cvar_risk', 0.95, Hmatr, [], [], [], dmatr', -0.00105, Aeqmatr, beqvec, lbvec, [], '');
fprintf('Solution status = %s\n', exitflag);
disp('Solution:'); disp(xout);
fprintf('Data loading time = %f sec\n', output.data_loading_time);
fprintf('Preprocessing time = %f sec\n', output.preprocessing_time);
fprintf('Solving time = %f sec\n', output.solving_time);
fprintf('Objective = %f\n', fval);
fprintf('CVaR = %f\n', output.frval);
fprintf('Expected return = %f\n', -output.fAval);
fprintf('Expected return residual = %f\n', -output.rAval);
fprintf('Budget constraint residual = %f\n', output.rAeqval);

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