PSGExpress (3.1.3)

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Portfolio Safeguard: Optimization, Statistics and Risk Management.

http://www.aorda.com
http://cran.r-project.org/web/packages/PSGExpress

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 .

Maintainer: Stan Uryasev
Author(s): Stan Uryasev [aut, cre, cph], Grigoriy Zrazhevsky [aut], Viktor Kuzmenko [aut], Alex Zrazhevsky [aut]

License: GPL (>= 2)

Uses: Matrix

Released 4 months ago.


3 previous versions

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