• ROME

  • Referenced in 111 articles [sw04733]
  • discuss how ROME can be used to model (1) a service-constrained robust inventory management ... robust portfolio optimization problem. Through these modeling examples, we highlight the key features of ROME...
  • SATzilla

  • Referenced in 99 articles [sw06281]
  • instance algorithm portfolios for SAT that use so-called empirical hardness models to choose among ... component solvers, and constructs a portfolio optimizing a given objective function (such as mean runtime ... well beyond SATzilla07 by making the portfolio construction scalable and completely automated, and improving ... runtime, and by using hierarchical hardness models that take into account different types...
  • CAViaR

  • Referenced in 185 articles [sw04424]
  • portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies...
  • quantreg

  • Referenced in 160 articles [sw04356]
  • parametric and non-parametric (total variation penalized) models for conditional quantiles of a univariate response ... several methods for handling censored survival data. Portfolio selection methods based on expected shortfall risk...
  • CreditRisk+

  • Referenced in 44 articles [sw31697]
  • CREDITRISK+ is based on a portfolio approach to modelling credit default risk that takes into ... Applying insurance modelling techniques, the analytic CREDITRISK+ Model captures the essential characteristics of credit default ... full loss distribution for a portfolio of credit exposures...
  • IPSSIS

  • Referenced in 14 articles [sw07158]
  • expected return and portfolio variance. According to this model ... according to most of the portfolio models derived from the stochastic dominance approach, the group ... that are not dominated by any other portfolio in the group), and on the other ... other words, these models do not solve for one optimal portfolio, but rather solve...
  • OptiRisk

  • Referenced in 9 articles [sw06238]
  • area of Optimisation, Risk Modelling, Portfolio Planning, Asset and Liability Management, Supply Chain Management, Strategic...
  • ADELAIS

  • Referenced in 7 articles [sw32881]
  • selection of stock portfolios. A portfolio selection model is developed and applied ... this model, ADELAIS is used to design and evaluate alternative portfolios by considering ... transactions and dividend yield. A final portfolio of maximal utility is obtained as an outcome ... interactive process of individual inter alternative preference modelling...
  • RMetrics

  • Referenced in 32 articles [sw09991]
  • GARCH Modelling and Volatility Forecasting, Extreme Value Theory and Copulae, Pricing of Derivatives, Portfolio Analysis...
  • FRAPO

  • Referenced in 3 articles [sw17239]
  • package FRAPO: Financial Risk Modelling and Portfolio Optimisation with R. Accompanying package of the book ... Financial Risk Modelling and Portfolio Optimisation with R’, second edition. The data sets used...
  • llama

  • Referenced in 5 articles [sw23879]
  • train and evaluate algorithm selection models for portfolios...
  • SUNNY

  • Referenced in 12 articles [sw31800]
  • portfolio of constraint solvers in order to compute -- without learning an explicit model -- a schedule ... approaches, we developed sunny-csp, an effective portfolio solver that exploits the underlying SUNNY algorithm ... tests conducted on exhaustive benchmarks of MiniZinc models show that the actual performance of sunny ... both for improving the power of CSP portfolio solvers and for trying to export them...
  • QPALM

  • Referenced in 6 articles [sw35397]
  • from application domains such as portfolio optimization and model predictive control. As such, QPALM strikes...
  • ghyp

  • Referenced in 26 articles [sw08162]
  • contains fitting procedures, an AIC-based model selection routine, and functions for the computation ... probability, random variates, expected shortfall and some portfolio optimization and plotting routines as well...
  • sunny-cp

  • Referenced in 6 articles [sw31181]
  • Sequential CP Portfolio Solver. The Constraint Programming (CP) paradigm allows to model and solve Constraint...
  • COGARCH.rm

  • Referenced in 1 article [sw26000]
  • selection with multivariate COGARCH(p,q) models. Portfolio selection with ICA-COGARCH based homogeneous...
  • MoRaViA

  • Referenced in 1 article [sw35297]
  • Analysis of mutual funds’ management styles: a modeling, ranking and visualizing approach. A method ... respect to the returns of a reference portfolio (benchmark) is introduced. It is based ... style analysis model estimating a mutual fund portfolio composition as well as the benchmark ... expressing the over- (under-) weighting of each portfolio constituent. A visual inspection of the results...
  • vZ

  • Referenced in 12 articles [sw22666]
  • problems modulo theories. Many SMT applications use models to provide satisfying assignments, and a growing ... respect to objective functions. νZ provides a portfolio of approaches for solving linear optimization problems...
  • MATLAB Financial Toolbox

  • Referenced in 4 articles [sw07147]
  • mathematical modeling and statistical analysis of financial data. You can optimize portfolios of financial instruments...
  • CVXPortfolio

  • Referenced in 7 articles [sw26998]
  • able to simulate the evolution of a portfolio, taking into account asset returns, transaction costs ... costs. The package includes simple but reasonable models of transaction cost based on asset...