CVaR Conditional Value-at-Risk Portfolio Optimization

Optimize portfolio to minimize CVaR (Expected Shortfall) at a given confidence level. Formulated as a linear program using Rockafellar-Uryasev representation over scenario returns.

Principal ($)
Annual Rate (%)
Years
Compounding / Year
$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.
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How It Works

Optimize portfolio to minimize CVaR (Expected Shortfall) at a given confidence level. Formulated as a linear program using Rockafellar-Uryasev representation over scenario returns

Each component has a specific meaning:

  • Rockafellar-Uryasev representation over scenario returns — The rockafellar-uryasev representation over scenario returns recorded for the scenario being assessed.

Note: Interpret the cvar portfolio optimization result against the thresholds and context described above.

How to Use

Enter the Rockafellar-Uryasev representation over scenario returns for the scenario you are assessing. Optimize portfolio to minimize CVaR (Expected Shortfall) at a given confidence level. Formulated as a linear program using Rockafellar-Uryasev representation over scenario returns. Use the cvar portfolio optimization result to inform your calculation.

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Frequently Asked Questions