If you need to solve optimization problems including a single risk-function (e.g., CVaR, VaR, Drawdown) with no or only one constraint, you may use subroutines riskprog and riskconstrprog.

 

Subroutines are implemented in PSG in two ways:

 

Programmatic Interface:

 riskprog

 riskconstrprog

 

Window based Interface:

 RiskProg in Toolbox

 RiskConstrProg in Toolbox

 

To open RiskProg or RiskConstrProg Windows go to Menu of the Main Toolbox Window-> Subroutines.

 

See also

 

User Subroutine in Toolbox

 

 

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