Displaying 1 result from an estimated 1 matches for "cppigap".
2017 Oct 20
0
NMOF 1.2-2 (Numerical Methods and Optimization in Finance)
...mization --
have been in continuous use since then. That implies
a certain maturity, and so it was time to upgrade
the version to 1.0 (and beyond already).
Since my last announcement on this list [1], a number
of functions have been added to the package:
'SAopt' (Simulated Annealing), 'CPPIgap' (portfolio
insurance), 'minvar' (computation of minimum-variance
portfolios), and more. See the NEWS file [2] and the
ChangeLog [3] for all details.
Many of the new functions are described, with
examples, in the Manual [4].
Kind regards
Enrico
[1] https://stat.ethz.ch/piperma...