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VaR vs CVaR in Risk Management and Optimization

  • solve_PortRebStrat.mThis file solves the case study "Portfolio Rebalancing Strategies:Risk vs Deviation" described in the paper "VaR vs CVaR in Risk Management and
  • solve_RiskControl_VaR.mThis file solves the case study "Risk Control Using VaR" described in the paper "VaR vs CVaR in Risk Management and
  • solve_VaR_vs_Prob.mThis file solve the case study "Example on Equivalence of Chance and VaR
  • solve_linear_regression_h...This file refers to the case study "Linear Regression-Hedging" described in the paper "VaR vs CVaR in Risk Management and
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VaR vs CVaR in Risk Management and Optimization

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01 Oct 2008 (Updated )

Case studies on VaR and CVaR 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.

MATLAB release MATLAB 7.5 (R2007b)
Other requirements Portfolio Safeguard by American Optimal Decisions. Request a trial version at http://www.aorda.com/main/inputTrialRequest.action
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Comments and Ratings (1)
06 Oct 2008 Ciro Chiappini

Useful supplemental information for the paper. The PSG tool is an extremely powerful solver!.

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