Portfolio Safeguard (PSG) in Windows Shell Environment: Basic Principles

American Optimal Decisions

The purpose of this book is to illustrate the main concepts and principles of Portfolio Safeguard software in Windows Shell environment. This book describes the main objects of Portfolio Safeguard (PSG), such as Data, Function, Constraint, and Problem, and how they are related in the Windows Shell environment to implement and solve optimization problems, and to analyze the solutions. The book also includes a small example that takes the reader through the basic operations needed for every PSG project. The Appendix provides mathematical formulation of PSG extensive set of built-in functions. Particular emphasis is given to the PSG built-in functions. PSG distinguishes between Deterministic and Risk Functions; each function is an independent object with an associated data structure. The book explains in details the grouping of the functions, and shows how functions are interrelated to build a Problem in PSG Windows Shell environment: after associating data structure to a function, the function is assigned to objects such as Objective and Constraint; Objective and Constraints are then associated to create a Problem. Several audiences may benefit from reading this book. Optimization professionals (e.g., quantitative analysts in financial industry), teachers of optimization and readers interested in learning PSG will discover through this book how to use PSG to solve complex optimization problems without intensive programming. Some basic knowledge of calculus and optimization is desirable to better grasp the power of PSG; no previous programming knowledge, such as C++, is needed. The book includes three sections. The first section describes general concepts of PSG, explaining basic principles, main objects, classes of functions, setup of optimization problems, and solvers. The second section shows the eight different Modes in PSG Shell Environment with a small optimization problem. The third section (Appendix) contains mathematical definitions of built-in functions. Portfolio Safeguard (PSG) is an advanced nonlinear mixed-integer optimization package for solving a wide range of optimization, statistics, and risk management problems. PSG is a product of American Optimal Decisions, Inc. (see www.aorda.com). Although PSG is a general-purpose decision support tool, the focus application areas are risk management, financial engineering, military, and medical applications. PSG is based on a simple but powerful idea: for every engineering area, define a set of most commonly used nonlinear functions and include them in an optimization package as independent built-in objects. Each function is defined by a function type, parameters, and a matrix of data (e.g. scenario matrix or covariance matrix). Specialized algorithms are built for different types of functions. These algorithms efficiently optimize large-scale nonlinear functions which are typically beyond the scope of commercial packages, such as Probability, Value-at-Risk (VaR), and Omega functions. The built-in functions library allows simple interface for calculation of functions and their sensitivities, constructing optimization problems and solving them, performing solution analysis. No programming experience is required to use the software. PSG operates in four programming environments: Shell (Windows), MATLAB, C++, and Run-File (Text). The standard PSG setup includes case studies in various areas with emphasis on financial engineering applications, such as portfolio optimization, asset allocation, selection of insurance, hedging with derivative contracts, bond matching, and structuring of Collateralized Debt Obligations (CDO). PSG can be downloaded from the American Optimal Decisions website: www.aorda.com/aod. Four types of licenses are available: Freeware Express, Regular, Academic, and Regular Business. Freeware Express Edition limits the number of decision variables per function to ten. The Regular PSG edition has a free 30-day trial.

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American Optimal Decisions (AOD) provides consulting services and software solutions in advanced statistics, optimization and risk management. Its main software product is Portfolio Safeguard (PSG), an advanced nonlinear mixed-integer optimization package. PSG includes a wide set of built-in nonlinear functions to solve sophisticated optimization problems with simple codes. PSG's function groups are: linear, nonlinear, utilities, cardinality, average, VaR, CVaR, drawdown, maximum, mean absolute, probability, partial moment, standard. AOD provides consulting in various engineering areas involving statistics and optimization: financial engineering, military, medical, logistics and others. Case studies with downloadable data and problem statements are available at www.aorda.com/aod/psg.action.

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1.Portfolio Safeguard (PSG) in Windows Shell Environment: Basic Principles

ISBN 10: 098282131X ISBN 13: 9780982821312
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