Roger Koenker-3 wrote > > There are obviously a large variety of non-smooth problems; > for CVAR problems, if by this you mean conditional value at > risk portfolio problems, you can use modern interior point > linear programming methods. Further details are here: > > http://www.econ.uiuc.edu/~roger/research/risk/risk.html > > Roger Koenker > rkoenker@ > # Hi, Roger. > > # Unfortunately that "C" does not stand for > # "Conditional" but "Credit"... which means that > # risk measure is obtained via Monte Carlo > # simulated scenarios in order to quantify the > # credit loss according to empirical transition > # matrix. Then I am afraid of every solver finding > # local maxima (or minima) because of some > # "jump" in Credit VaR surface function of > # portfolio weights :( > > > > On Jul 18, 2012, at 3:09 PM, Cren wrote: > >> # Whoops! I have just seen there's a little mistake >> # in the 'sharpe' function, because I had to use >> # 'w' array instead of 'ead' in the cm.CVaR function! >> # This does not change the main features of my, >> # but you should be aware of it >> >> --- >> >> # The function to be minimized >> >> sharpe <- function(w) { >> - (t(w) %*% y) / cm.CVaR(M, lgd, ead, N, n, r, rho, alpha, rating) >> } >> >> # This becomes... >> >> sharpe <- function(w) { >> - (t(w) %*% y) / cm.CVaR(M, lgd, w, N, n, r, rho, alpha, rating) >> } >> >> # ...substituting 'ead' with 'w'. >> >> -- >> View this message in context: >> http://r.789695.n4.nabble.com/The-best-solver-for-non-smooth-functions-tp4636934p4636936.html >> Sent from the R help mailing list archive at Nabble.com. >> >> ______________________________________________ >> R-help@ mailing list >> https://stat.ethz.ch/mailman/listinfo/r-help >> PLEASE do read the posting guide >> http://www.R-project.org/posting-guide.html >> and provide commented, minimal, self-contained, reproducible code. > > ______________________________________________ > R-help@ mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. >
-- View this message in context: http://r.789695.n4.nabble.com/The-best-solver-for-non-smooth-functions-tp4636934p4637001.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
