The files in this folder solve the optimization case studies described in the paper "VaR vs CVaR in Risk Management and Optimization" by Sarykalin,S., Serraino,G., and Uryasev,S., in Tutorials in Operations Research, INFORMS 2008 (download www.ise.ufl.edu/uryasev/VaR_vs_CVaR_INFORMS.pdf ). Optimization problems are solved with Portfolio Safeguard (PSG) MATLAB subroutines developed by American Optimal Decisions (www.aorda.com)....
Rt: returns series alpha: VaR level OUTPUT: CFVAR: Cornish fisher VaR with alpha probability and time horizon as the returns series frequancy
This PHP Debugging class provides a very good Var-Debug in php. It can display Variables with all kinds of datatypes. I can declare a limit fr the recursion if u want to display large objects or Array and don't want to dive too deep.
In a little Prolog interpreter I'm writing I needed a simple and concise way to create Var-objects and also store them in a mapping varname -> Var-object representing the scope of the current Prolog rule. Also, anonymous Prolog variables...
It took me a while to figure out the file format for /var/log/lastlog on *NIX type machines. Some of the sysadmins out there may find it usefull to be able to determine the last time of login for an account without using any other apps.
To use this function just define a variable say var, var = pnseq(a, b, c); for a, b and c refer to the zip file
The VAR used for power network can be controlled. This value can be zero or a constant value.
This file contains three m-file which estimate the Value at Risk (VaR) of portfolio composed of two stocks price by using Exponentially Weighted Moving Average. the main function is 'ewmaestimatevar'. For estimating VaR you should use this...
This package computes and plots impulse responses and confidence intervals for a structural Vector Autoregression (VAR). The impulse responses can be obtained through four different implementations of the standard Choleski decomposition. A sample...
FUNCTION VAR = STR2VAR(STR)
Returns the variable or array of variables, VAR, matching the pattern STR. Matching variables must be of same type.
a = 3; b = str2var('a'); % b is now equal to a, i.e. 3.
a1 =...
Computes the autocovariance of two columns vectors consistently with the var and cov functions. autocov computes the autocovariance between two column vectors X and Y with same length N using the Fast Fourier Transform algorithm from 0 to...
An useful tutorial for the programmers to write their coding in JScript and learn the easier ways on how to implement it. Explains the restrictions in variable declaration and use of var function to define local variables with clear explanation....
The outputs of this Cookie Script do not mix with other strings outcoming from other directory cookies , thanks to the variable assignment : var the_cookie = "MultipleInfos="+GetCookie("MultipleInfos"); This is a Programs'Set...
This is an useful and helpful reference site for the WML programmers which explains each statement functions of wireless markup language. Statements explained in this library are Break, for, if, return, var, while etc.,
Add/Remove Plus! 2003 Mobile Kit helps IT personnel, consultants, technicians, VAR's, and MIS/IT managers to perform easy uninstallations on any number of PCs, keep only authorized and useful software, perform software audits to check for software...
These java classes implement a jython taglib which can be used to embed jython code into jsp pages. It consists of two tags: <jython:exec> ...some code... and <jython:get var=.../> With these two tags you can write...
I wrote this code because I wanted to incorporate a new distribution in the model, not availiable in Matlab or OxMetrics. In this sample the input is a return series, it uses a Garch(1,1) model with a constant in mean in the returns, and...
MatData 1.02
usage:
call read(filename,varname,var) call write(filename,varname,var,action)
where "filename" is the string of .mat file's name, "varname" is the string of variable's name...
Simple VaR Calculator provides: - Evaluation of return distribution of single asset or portfolio of assets; - Volatility forecasts using moving average and exponential algorithm;
- Value at Risk of single asset...
Solves the linear least squares problem with nonnegative variables using the newton's algorithm in: Portugal, Judice and Vicente, A comparison of block pivoting and interior point algorithms for linear least squares problems with nonnegative... |