rpsg_convert_ps_params

character

<p>Replace values of parameters with variables in problem statement</p>

internal

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 <http://www.aorda.com/html/PSG_Help_HTML/index.html?function.htm> ). 'PSGExpress' is the 'Portfolio Safeguard (PSG)' freeware version with the number of variables in functions less or equal to 10, see <http://www.aorda.com>.

Stan Uryasev

PSGExpress

Portfolio Safeguard: Optimization, Statistics and Risk
Management

Grigoriy Zrazhevsky

Viktor Kuzmenko

Alex Zrazhevsky

rpsg_convert_ps_params function

Replace values of parameters with variables in problem statement — rpsg_convert_ps_params

Replace values of parameters with variables in problem statement

results$problem_statement_new	character with PSG Problem Statement where parameters are changed with corresponding variables;
results$parameter.data.list	list with variables used in the new PSG Problem Statement.

rpsg_convert_ps_params: Replace values of parameters with variables in problem statement

Description

Usage

Arguments

Value