PSGExpress: Portfolio Safeguard: Optimization, Statistics and Risk Management

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 <> ). 'PSGExpress' is the 'Portfolio Safeguard (PSG)' freeware version with the number of variables in functions less or equal to 10, see <>.

Getting started

Package details

AuthorStan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut]
MaintainerStan Uryasev <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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PSGExpress documentation built on March 25, 2019, 5:06 p.m.