Portfolio Safeguard (PSG) is an optimization package for solving nonlinear and mixed-integer nonlinear optimization problems in Windows operating system. PSG contains precoded major classes of nonlinear functions and can formulate optimization problems in analytic format.
Read Why PSG section in PSG Help Manual.
Advantages:
- Simplicity of programming in analytic functional format.
- Functional flexibility: optimization and analysis is formed by selecting various risk functions (VaR, CVaR, Probability, Drawdown, Partial Moment, Omega, and Maximum Loss).
- Efficient numerical algorithms: optimize complicated problems with thousands of variables in seconds.
Some areas where PSG is used:
- Financial Engineering (Mortgage Pipeline Hedging, Portfolio Optimization with Nonlinear Transaction Costs, and others)
- Advanced Statistics (Mixed Quantile Regression Estimation of CVaR with Explanatory Factors, Binary Classification with Splines, and others)
- Stochastic Programming (Supply Chain Planning Problem, and others)
- Logistics (Optimal Tests Selection, Project Selection and others)
- Medical Applications (Logistic Regression and Regularized Logistics Regression Applied to Estimating Probabilities)
- Mechanics (Optimization of Parameters of Beam Excitation Waveform).
PSG operates in four programming environments (see PSG Help Manual Guide)
- Run-File (Text)
- MATLAB
- CPP
- R
Read Why PSG for a quick start.