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 12 articles )

Showing results 1 to 12 of 12.
Sorted by year (citations)

  1. Gotoh, Jun-ya; Uryasev, Stan: Support vector machines based on convex risk functions and general norms (2017)
  2. Gotoh, Jun-ya; Uryasev, Stan: Two pairs of families of polyhedral norms versus $\ell _p$-norms: proximity and applications in optimization (2016)
  3. Grechuk, Bogdan; Zabarankin, Michael: Inverse portfolio problem with coherent risk measures (2016)
  4. Boyko, Nikita; Karamemis, Gulver; Kuzmenko, Viktor; Uryasev, Stan: Sparse signal reconstruction: LASSO and cardinality approaches (2014)
  5. Espinoza, Daniel; Moreno, Eduardo: A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs (2014)
  6. Filomena, Tiago P.; Lejeune, Miguel A.: Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (2014)
  7. Pavlikov, Konstantin; Uryasev, Stan: CVaR norm and applications in optimization (2014)
  8. Rockafellar, R.T.; Royset, J.O.; Miranda, S.I.: Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk (2014)
  9. Tsyurmasto, Peter; Zabarankin, Michael; Uryasev, Stan: Value-at-risk support vector machine: stability to outliers (2014)
  10. Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; Rockafellar, R.Tyrrell: Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing (2014)
  11. Zabarankin, Michael; Uryasev, Stan: Statistical decision problems. Selected concepts and portfolio safeguard case studies (2014)
  12. Boyko, Nikita; Turko, Timofey; Boginski, Vladimir; Jeffcoat, David E.; Uryasev, Stanislav; Zrazhevsky, Grigoriy; Pardalos, Panos M.: Robust multi-sensor scheduling for multi-site surveillance (2011)