I am trying to find an implementation of CVaR constraint when optimising a portfolio using CVXR.
According to “CVXR: An R Package for Disciplined Convex Optimization” there seem to be an existing implementation.
Thanks for your help.
Despite the similar names, and CVX using the cvxr.com domain, CVXR is a different package than CVX.
Per https://cvxr.rbind.io/cvxr_faq/#gen-help , for CVXR questions,
Please post questions to the cvx tag on StackOverflow.
There are some CVX codes for CVaR in https://arxiv.org/pdf/1511.00140.pdf . Perhaps you can adapt them to CVXR. I offer no opinion as to the quality or correctness of that document or its codes (I’m not saying it is not correct and good, but I haven’t looked at it).