The best solver for non-smooth functions?
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 at illinois.edu
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'.
--
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