MATLAB_Environment
PSG Help Version 2.0
Opera Bug
Contents
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Index
Case Studies with PSG
Hedging Portfolio of Options
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Mortgage Pipeline Hedging
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Problem 4
Problem 5
Solution in MATLAB Environment
Omega Portfolio Rebalancing
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Optimal Crop Production and Insurance Coverage
Formal Problem Statement
Scenarios Generation
Parameters of the Problem
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Optimal Hedging of CDO Book
Formal Problem Statement
Solution in Run-File Environment
Optimization Problem 1
Optimization Problem 2
Solution in MATLAB Environment
Optimal Tests Selection
Formal Problem Statement
Solution in Run-File Environment
Optimization Problem 1
Optimization Problem 2
Optimization Problem 3
Solution in MATLAB Toolbox
Optimization Beyond Black Litterman
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
subroutine
tbpsg_run
efficient frontier
Optimization Retail Portfolio of Bonds
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
Problem 1_1
Problem 1_2
Problem 2_1
Problem 2_2
Portfolio Management with Basel Accord
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Portfolio Optimization with Drawdown Constraints on a Single Path
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Problem 1
Problem 2
Problem 3
Portfolio Optimization with Drawdown Constraints on Multiple Paths
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Problem 1
Problem 2
Problem 3
Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths
Formal Problem Statement
Solution in Run-File Environment
Optimization Problem 1
Optimization Problem 2
Solution in MATLAB Environment
Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Portfolio Optimization with Nonlinear Transaction Costs
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Portfolio Optimization with Second Orders Stochastic Dominance Constraints
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Portfolio Optimization, CVaR vs Standard Deviation
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Portfolio Replication with Risk Constraint
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Project Selection
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
subroutine
tbpsg_run
Stochastic Utility Problem
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Relative Entropy Minimization
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
Structuring Step-up CDO
Formal Problem Statement
Data Descritpion
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Problem 4
Problem 5
Problem 6
Solution in MATLAB Environment
Problems 1-5
Problem 6
Style Classification with Quantile Regression
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
Binary Classification with Splines
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Solution in MATLAB Environment
Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Problem 3
Problem 4
Solution in MATLAB Environment
Solution in MATLAB Toolbox
Mixed Quantile Regression: Estimation of CVaR with Explanatory Factors
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
Quantile Regression: Style Classification of Portfolio
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
Intensity-Modulated Radiation Therapy Treatment Planning Problem
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment
VaR vs Probability Constraints
Formal Problem Statement
Solution in Run-File Environment
Problem 1
Problem 2
Solution in MATLAB Environment
Investment Strategies for Portfolio of Hedge Funds
Formal Problem Statement
Solution in MATLAB Environment
Problem_1
Problem_2
Problem_3
Logistic Regression with Factors Transformed by Splines and Approaches for Dimension Reduction
Formal Problem Statement
Solution in MATLAB Toolbox
Supply Chain Planning Problem
Formal Problem Statement
Solution in Run-File Environment
Solution in MATLAB Environment