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VaR vs CVaR in Risk Management and Optimization 1.0

  Date Added: July 04, 2013  |  Visits: 467

VaR vs CVaR in Risk Management and Optimization

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The files in this folder solve the optimization case studies described in the paper "VaR vs CVaR in Risk Management and Optimization" by Sarykalin,S., Serraino,G., and Uryasev,S., in Tutorials in Operations Research, INFORMS 2008 (download www.ise.ufl.edu/uryasev/VaR_vs_CVaR_INFORMS.pdf ).Optimization problems are solved with Portfolio Safeguard (PSG) MATLAB subroutines developed by American Optimal Decisions (www.aorda.com). We show how to use PSG MATLAB functions: riskprog, riskconstrprog, functionvalue and others.

Requirements: No special requirements
Platforms: Matlab
Keyword: American Decisions Developed Download Functions Functionvalue Matlab Optimal Optimization Portfolio Problems Riskconstrprog Riskprog Safeguard Solved Subroutines Wwwaordacom Wwwiseufleduuryasevvar Cvar Informspdf
Users rating: 0/10

License: Freeware Size: 225.28 KB
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