CDaR Implementation

jzamoras · Post by **jzamoras** » Fri Mar 06, 2009 8:47 pm

Hi All, have anyone implemented sucessfully implemented CDaR? I can't found the set of linear inequalities corresponding to drawdown constraints.

Best Regards,

Jaime Zamora

johnLumb · Post by **johnLumb** » Tue Jul 09, 2013 2:15 pm

read about chekhlov-Uryasev-Zabarankin on there lineare solution

you can be help to generate the dradown with matlab functions.

Corey · Post by **Corey** » Tue Jul 09, 2013 3:31 pm

By implemented CDaR, do you mean solved for the min CDaR portfolio? This blog post sets up the min CDaR portfolio as a linear programming problem and provides the R code to solve it.