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 :( -- View this message in context: http://r.789695.n4.nabble.com/The-best-solver-for-non-smooth-functions-tp4636934p4637002.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.
