An application of the paper "Rockafellar, R. and S. Uryasev. “Optimization of conditional value-at risk.” Journal of Risk 3 (2000): 21-41."
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Feb 15, 2024 - R
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efficient-frontier
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This repository contains code that reproduces the results of the paper Improvements to Modern Portfolio Theory based models applied to electricity systems. Published version available at https://doi.org/10.1016/j.eneco.2022.106047.
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Dec 2, 2023 - R
Efficient frontier for different correlation coefficients between two assets
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Jul 2, 2021 - R
The order-md algorithm is an adjustment of the order-m algorithm for estimating efficiency scores of decision making units (firms)
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May 22, 2023 - R
Efficient Frontier using R
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Jul 4, 2021 - R
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