[R] The best solver for non-smooth functions?
oscar.soppelsa at bancaakros.it
Thu Jul 19 10:24:42 CEST 2012
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:
> Roger Koenker
# 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 :(
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