f=data{:,2:7};
r=x(1)*f(:,1)+x(2)*f(:,2)+x(3)*f(:,3)+x(4)*f(:,4)+x(5)*f(:,5)+x(6)*f(:,6);
XX=sum(r);
outputArg1(1)=-XX;
grid=10000;
var=zeros(grid+1,1);
parfor i=1:(grid+1)
var(i)=quantile(r,(i-1)/grid);
end
outputArg1(2)=-quantile(r,alpha);
CVaR=CVaR-(((var(i)+var(i+1))/2*(1/grid))*100/alpha);
请问上面这段代码是用历史模拟法求var吗?还有求cvar用的是切片法吗?