Portfolio Safeguard

Portfolio Safeguard (PSG) is a nonlinear and mixed-integer nonlinear optimization package in Windows operating system. PSG contains precoded major classes of nonlinear functions and can optimize these functions in analytic format.

Keywords for this software

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References in zbMATH (referenced in 21 articles )

Showing results 1 to 20 of 21.
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  1. Grechuk, Bogdan; Zabarankin, Michael: Regression analysis: likelihood, error and entropy (2019)
  2. Kuzmenko, Viktor; Uryasev, Stan: Kantorovich-Rubinstein distance minimization: application to location problems (2019)
  3. Zrazhevsky, G.; Golodnikov, A.; Uryasev, S.: Mathematical methods to find optimal control of oscillations of a hinged beam (deterministic case) (2019)
  4. Grechuk, Bogdan; Zabarankin, Michael: Direct data-based decision making under uncertainty (2018)
  5. Pavlikov, Konstantin; Uryasev, Stan: CVaR distance between univariate probability distributions and approximation problems (2018)
  6. Shang, Danjue; Kuzmenko, Victor; Uryasev, Stan: Cash flow matching with risks controlled by buffered probability of exceedance and conditional value-at-risk (2018)
  7. Goldberg, Lisa R.; Mahmoud, Ola: Drawdown: from practice to theory and back again (2017)
  8. Gotoh, Jun-ya; Uryasev, Stan: Support vector machines based on convex risk functions and general norms (2017)
  9. Grechuk, Bogdan; Zabarankin, Michael: Sensitivity analysis in applications with deviation, risk, regret, and error measures (2017)
  10. Gotoh, Jun-ya; Uryasev, Stan: Two pairs of families of polyhedral norms versus (\ell_p)-norms: proximity and applications in optimization (2016)
  11. Grechuk, Bogdan; Zabarankin, Michael: Inverse portfolio problem with coherent risk measures (2016)
  12. Chen, Wei: Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem (2015)
  13. Boyko, Nikita; Karamemis, Gulver; Kuzmenko, Viktor; Uryasev, Stan: Sparse signal reconstruction: LASSO and cardinality approaches (2014)
  14. Espinoza, Daniel; Moreno, Eduardo: A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs (2014)
  15. Filomena, Tiago P.; Lejeune, Miguel A.: Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (2014)
  16. Pavlikov, Konstantin; Uryasev, Stan: CVaR norm and applications in optimization (2014)
  17. Rockafellar, R. T.; Royset, J. O.; Miranda, S. I.: Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk (2014)
  18. Tsyurmasto, Peter; Zabarankin, Michael; Uryasev, Stan: Value-at-risk support vector machine: stability to outliers (2014)
  19. Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; Rockafellar, R. Tyrrell: Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing (2014)
  20. Zabarankin, Michael; Uryasev, Stan: Statistical decision problems. Selected concepts and portfolio safeguard case studies (2014)

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