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Financial Engineering Case Studies (Portfolio Optimization Replication, Hedging, VaR, CVaR, Drawdown, CDaR, Probability, Credit Risk, Cash Matching, Options, Structuring CDO, Mortgage)
The library of test optimization problems in various engineering areas is posted for benchmarking purposes. Many optimization problems are based on real-life projects. Each problem is presented with a problem description, input data, and calculation results. All problem statements and data are in the format compatible with Portfolio Safeguard (PSG) software for verification simplicity. PSG format is selected because considered nonlinear functions are pre-coded and mathematically defined (e.g. Variance, Standard Deviation, Mean Absolute Deviation, Value-at-Risk, Conditional Value-at-Risk, Cardinality, Drawdown, and Relative Entropy, see the list of groups of functions at this link (List of Functions). Problems are presented in PSG Run-File (Text) Environment. To optimize a problem you should install PSG on your PC.
|Financial Engineering Area|
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