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PSGExpress (version 3.1.3)

Portfolio Safeguard: Optimization, Statistics and Risk Management

Description

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 .

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Version

Install

install.packages('PSGExpress')

Monthly Downloads

36

Version

3.1.3

License

GPL (>= 2)

Maintainer

Stan Uryasev

Last Published

July 26th, 2019

Functions in PSGExpress (3.1.3)

rpsg_exporttotext

Exports PSG Problem to text

rpsg_getfunctionvalue

PSG Function calculation

rpsg_getsolution

Convert character PSG solution report into list witn numeric data

rpsg_getfunctionincrement

PSG Functions increments calculation

rpsg_convert_ps_params

Replace values of parameters with variables in problem statement

rpsg_getsolution_one_problem

Convert character PSG solution report into list witn numeric data in the case of one PSG prblem (only one output report).

rpsg_riskratioprog

Maximizes ratio of risk functions with linear constraints

Verify PSG Problem

check.functions.ratioprog

Checks if PSG function may be used in rpsg_riskratioprog as risk1 or risk2.

solves optimization problem using General (Text) Format of PSG

rpsg_restore_ps

Replace parameters with their values in PSG Problem Statement

rpsg_importfromtext

Imports PSG Problem from text

rpsg_riskconstrprog

Solves risk minimization problems with constraint on a risk function and linear constraints

Solves risk minimization problems with linear constraints on variables

rpsg_create_subroutine

Creates user-defined R-function for solving PSG optimization problem.

PSGExpress-package

rpsg_getfunctionsensetivity

PSG Functions sensetivity calculation