VaR vs CVaR in Risk Management and Optimization 1.0

Date Added: July 04, 2013 | Visits: 2.298

Report Broken Link
Printer Friendly Version

Product Homepage
Download (50 downloads)

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

USER REVIEWS

More Reviews or Write Review

VAR VS CVAR IN RISK MANAGEMENT AND OPTIMIZATION RELATED

Development Tools - Using MATLAB to Develop Portfolio Optimization Models 1.0 A .zip file contains a series of scripts that were used in the MathWorks webinar "Using MATLAB to Develop Portfolio Optimization Models." The scripts generate 3D efficient frontiers for a universe of 44 stocks with time as the third axis....	204.8 KB
Development Tools - A new method for generating pareto-optimal topologies 1.0 Engineers are often interested in obtaining optimal topologies, i.e., optimal conceptual designs, for various structural problems. The attached Matlab code generates such optimal topologies in about 199 lines of Matlab code. Two structural...	501.76 KB
Development Tools - Copernic Desktop Search functions for Matlab 1.0 Copernic Desktop Search is a popular free desktop search tool that searches Microsoft Word, Excel, and PowerPoint files, Acrobat PDFs, Outlook emails, and all popular music, picture and video formats. Copernic can also search your browser history,...	10 KB
Communication - Fixed-point signal processing in M 1.0 Functions accompanying MATLAB News & Notes article "Fixed-point Signal Processing: Getting Started" by Darel A. Linebarger and Thomas A. Bryan, 2004. The functions include an FIR filter in M that can be run in fixed-point and floating-point.	10 KB
Development Tools - CUDA MEX 1.0 This small script modifies the files used by MATLAB to compile mex-functions within MATLAB so that CUDA is supported.Once the script setup_cuda_mex.m is run you can just compile CUDA mex files with the function cuda_mex.m.Only Win32 with Visual...	10 KB
Finance - Investment & Business Portfolio Optimization 1.0 The Portfolio Optimization model calculates the optimal capital weightings for a basket of investments that gives the highest return for the least risk. The unique design of the model enables it to be applied to either financial instrument or...	121 KB
Science - QCF 1.0 QCF is a toolbox of Quantum Computing Functions for Matlab and Octave. It is based on the syntax of Nielsen & Chuang's book 'Quantum Computing and Quantum Information'. It includes simulations of the Grover and Deutsch algorithms and a pdf tutorial.	64.9 KB
Programming - oscmex 1.0 The oscmex project provides a library of functions for MATLAB that enable the sending and receiving of Open Sound Control (OSC) formatted messages between a MATLAB process and other OSC-enabled endpoints on a network. oscmex is...	10.24 KB
Development Tools - Geodetic Toolbox 1.0 A collection of geodetic functions that solve a variety of problems in geodesy. Supports a wide range of common and user-defined reference ellipsoids. Most functions are vectorized. Functions include:Angle Conversions deg2rad - Degrees to radians...	40.96 KB
Development Tools - Functions for the rectangular assignment problem 1.0 With this package, I provide some MATLAB-functions regarding the rectangular assignment problem. This problem appears for example in tracking applications, where one has M existing tracks and N new measurements. For each possible assignment, a...	20.48 KB

NEW DOWNLOADS IN SCRIPTS, DEVELOPMENT TOOLS

Scripts - Free Ecommerce website creator 1.2 Free Ecommerce website creator is a free PHP shop creating script. This allows you to put a online shop on your own website. Create your own free ecommerce website for Your Business. Create an online shop using easyGUI online shop creator. The...	1.44 KB
Scripts - MochiGames PHP Script ZDR 1.00 MochiGames PHP Script ZDR is web site, ready for use, for flash games. These flash games are downloaded automatically by "MochiGames PHP Script ZDR" from MochiGames media. The use of the games is free, you can use your own Mochi Publisher ID and...	368.54 KB
Scripts - Php Chat 2.0 Add a free php site, single sign-on and multiple skins, 100% free 1. Server Modes: The chat server has paid mode and free mode. If the free chat mode, a free chat room will be assigned to your website with your domain as the room name. 2....	938.87 KB
Scripts - Nibbleblog 3.0.1 Nibbleblog it's a powerful engine for creation and manipulation of BLOG's completely free. Very simple to install and configure (Only 1 step). The database used is based on XML files and this way it is not necessary to use MySQL or similar DBMS....	371.09 KB
Scripts - PHP File Manager \| CloudOsys 2.9b8 CloudOsys is a PHP file manager, a tool that allows your visitors upload files such as media content directly to your website. Your visitors will upload files directly to your website, where they can share and comment on them. Through cloud...	1.41 MB
Development Tools - Aml2CHM 3.50 Those who use the popular Aml Pages text editor might be looking out for a way of generating help files from their text and notes. Aml2CHM is a plug-in that was developed to offer people a quick and efficient way of converting Aml Pages documents...	549.99 KB
Development Tools - VMP Viewer 1.0 This is a very rudimentary tool to visualize the VMP files generated by BrainVoyager. Useful to share files with people who do not have BV.	10 KB
Development Tools - 7-Zip for Script 4.42 7-Zip is a file archiver with a high compression ratio.Features:- High compression ratio in new 7z format with LZMA compression- Supported formats:- Packing / unpacking: 7z, ZIP, GZIP, BZIP2 and TAR- Unpacking only: RAR, CAB, ISO, ARJ, LZH, CHM,...	624.64 KB
Development Tools - PHP Docbook Displayer for Scripts 1.0b PHP Docbook Displayer provides XSL and CSS stylesheets, and PHP scripts, to generate easily and dynamically websites from Docbook files.It aims at simplifying to the max the web publication process : simply drop the docbook file under the site root !	102.4 KB
Development Tools - WP Translate 1.0 This simple language translation plugin allows your users to quickly translate your webpages, through a widget on your blog.You have the option to select the title of the Widget, which will be displayed above the language translation form. Users...	10 KB

Windows Software	BeOS Software
Macintosh Software	Linux Software
PDA Software	OS/2 Software
Mobile Software	Scripts