Solves optimization, advanced statistics, and risk management problems. Popular nonlinear functions in financial, statistical, and logistics applications are pre-coded (e.g., Standard Deviation, Entropy, Expected Shortfall (ES), Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), Probability of Exceedance (POE), Buffered Probability of Exceedance (bPOE), Partial Moment (PM), Drawdown, Mean-Squared Error, see, the list <http://www.aorda.com/html/PSG_Help_HTML/index.html?function.htm> ). 'PSGExpress' is the 'Portfolio Safeguard (PSG)' freeware version with the number of variables in functions less or equal to 10, see <http://www.aorda.com>.
Package details |
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Author | Stan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut] |
Maintainer | Stan Uryasev <stan.uryasev@aorda.com> |
License | GPL (>= 2) |
Version | 3.1.3 |
URL | http://www.aorda.com |
Package repository | View on CRAN |
Installation |
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