Example Problem for C++ Environment

Conditional Value-at-Risk minimization

 This example demonstrates CVaR (see PSG Function cvar_risk) minimization with average (expected) return (see PSG Function avg_g) and budget constraints.

General mathematical formulation of the minimization problem:

subject to

portfolio return constraint:

budget constraint:

bounds on decision variables:

where

= vector of decision variables;

= portfolio return of instruments;

= Conditional Value-at-Risk for return;

= average return.

The representation of this optimization problem in General (Text) Format of PSG is Problem Description for CPP Environment.