Case Studies

A collection of 85 case studies in optimization, risk management, statistics, and finance. Each includes problem statements, data, and computational results (originally hosted with Portfolio Safeguard / PSG).

• Case Study: Approximation of a Discrete Distribution by Some Other Discrete Distribution in Euclidean Space by Minimizing Kantorovich-Rubinstein Distance (linear, sqrt_quadratic)
• Case Study: Basic CVaR Optimization Problem, Beyond Black-Litterman
• Case Study: Buffered Neyman-Pearson Classification with Spline-based Feature Transforms
• Case Study: Calibrating Risk Preferences
• Case Study: Cash Matching Bond Portfolio
• Case Study: Cash Matching with bPOE and CVaR Functions
• Case Study: Cell Towers allocation with Probability of Exceedance and VaR functions
• Case Study: Checkerboard Copula Defined by Spearman Rho Coefficients (entropyr)
• Case Study: Checkerboard Copula Defined by Sums of Random Variables
• Case Study: Classification by Buffered AUC (bAUC) Maximization
• Case Study: Classification by Maximizing Area Under ROC Curve (AUC)
• Case Study: CoCDaR-Approach Systemic Risk Contribution Measurement
• Case Study: CoCVaR Approach - Risk Contribution Measurement
• Case Study: Convex-Concave-Convex Distributions in Application to CDO Pricing
• Case Study: CVaR Norm Regression
• Case Study: Data Envelopment Analysis
• Case Study: Data Envelopment Analysis, Stochastic Case, Buffered-Ranking
• Case Study: Distribution Approximation by Maximizing Entropy with Second-Order Stochastic Dominance and Moment Constraints
• Case Study: Efficient and Robust Optimal Design for Quantile Regression Based on Linear Programming
• Case Study: Estimating Probability Distributions with Quantile Regression
• Case Study: Estimation of CVaR through Explanatory Factors with CVaR (Superquantile) Regression
• Case Study: Estimation of CVaR through Explanatory Factors with Mixed Quantile Regression
• CASE STUDY: Expectile (XVaR) Estimation by Three Variants of Regression
• Case Study: Fitting mixture models with CVaR constraints
• Case Study: Hedging Portfolio of Options with CVaR Constraint
• CASE STUDY: Hedging Portfolio of Options with Expectile (XVaR)
• Case Study: Linear Regression in Tranche
• Case Study: Logistic Regression and Regularized Logistic Regression Applied to Estimating the Probability of Cesarean Section
• Case Study: Maximization of Log-Likelihood in Hidden Markov Model (hmm_discrete, hmm_normal, linear, linearmulti)
• Case Study: Minimization of Kantorovich-Rubinstein distance between two distributions (kantor, ksm_avg, cardn, linear)
• Case Study: Mortgage Pipeline Hedging
• Case Study: Omega Portfolio Rebalancing
• Case Study: Optimal Allocation of Stock Levels and Stochastic Customer Demands to a Capacitated Resource
• Case Study: Optimal Crop Production and Insurance Coverage
• Case Study: Optimal Hedging of CDO Book
• Case Study: Optimal Position Liquidation with CVaR Constraints
• Case Study: Optimal Tests Selection
• Case Study: Optimizing Intensity-Modulated Radiation Therapy Treatment Planning Problem
• Case Study: Parameter Estimation of Generalized Pareto Distribution
• Case Study: Portfolio Credit-Risk Optimization Modeled by Scenarios and Mixtures of Normal Distributions
• Case Study: Portfolio Management with Basel Accord
• Case Study: Portfolio Optimization with Drawdown Constraints on a Single Path
• Case Study: Portfolio Optimization with Drawdown Constraints on Multiple Paths
• Case Study: Portfolio Optimization with Drawdown Constraints, Single Path vs Multiple Paths
• Case study: Portfolio Optimization with Expectiles
• Case Study: Portfolio Optimization with Exponential, Logarithmic, and Linear-Quadratic Utilities
• Case Study: Portfolio Optimization with Mixed CVaR and Mixed VaR Profiles
• Case Study: Portfolio Optimization with Nonlinear Transaction Costs
• Case Study: Portfolio Optimization with Probabilistic Constraint and Fixed and Proportional Transaction Costs
• Case Study: Portfolio Optimization with Second-Order Stochastic Dominance Constraints
• Case Study: Portfolio Optimization, CVaR vs. ST_DEV
• Case Study: Portfolio Replication with Cardinality and Buyin Constraints
• Case Study: Portfolio Replication with Risk Constraint
• Case Study: Production Planning
• Case Study: Project Selection
• Case Study: Projection on Polyhedron with Various Norms
• Case Study: Relative Entropy Minimization
• Case Study: Retirement Portfolio Selection
• Case Study: Risk Identifier Visualization for Extended ϕ-divergence Quadrangle
• Case Study: Shortest Path in a Stochastic Weighted Graph using Average, bPOE, and CVaR
• Case Study: Shortest Path in a Stochastic Weighted Graph using Average, CVaR, POE and bPOE Performance Functions
• Case Study: Sparse Reconstruction Problems from SPARCO Toolbox
• Case Study: Sparse Reconstruction Problems from SPARCO toolbox in PSG MATLAB Environment (fnext)
• Case Study: Sparse Signal Reconstruction: a Cardinality Approach
• Case Study: Spline Approximation
• Case Study: Spline Regression
• Case Study: Stochastic Multicommodity Network Flow Problem
• Case Study: Stochastic Two Stage Linear Problem
• Case Study: Stochastic Utility Problem
• Case Study: Structuring step up CDO
• Case Study: Style Classification with mCoCDaR Regression
• Case Study: Style Classification with Quantile Regression
• Case Study: Supply Chain Planning Problem
• Case Study: Support Vector Machines Based on Tail Risk Measures
• Case Study: Support Vector Regression: Risk Quadrangle Framework
• Case Study: Travelling Salesman
• Case Study: Value-at-Risk Support Vector Machine (Var-SVM)
• Case Study: VaR Optimization Retail Portfolio of Bonds
• Case Study: VaR vs Difference of CVaRs Minimization
• Case Study: VaR vs Probability Constraints
• Optimization of Parameters of Beam Excitation Waveform
• Classification in Loan Application Process
• Mixture Quantile Estimation via Constrained Linear Regression
• Network Optimization by Minimization of Cardinality of Upper Average (CUA)
• Pricing European Cryptocurrency Options Using Numerical Replication