Hi everyone,
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.
CVaR constraint in CVXR for Portfolio optimization
Despite the similar names, and CVX using the cvxr.com domain, CVXR is a different package than CVX.
Per Frequently Asked Questions — CVXR , 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).