Solves optimization, advanced statistics, and risk management problems. Popular nonlinear functions in financial, statistical, and logistics applications are precoded (e.g., Standard Deviation, Entropy, Expected Shortfall (ES), ValueatRisk (VaR), Conditional ValueatRisk (CVaR), Probability of Exceedance (POE), Buffered Probability of Exceedance (bPOE), Partial Moment (PM), Drawdown, MeanSquared 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 


Author  Stan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut] 
Maintainer  Stan Uryasev <[email protected]> 
License  GPL (>= 2) 
Version  3.1.2 
URL  http://www.aorda.com 
Package repository  View on CRAN 
Installation 
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