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.
Useful supplemental information for the paper. The PSG tool is an extremely powerful solver!.
Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.