[R] The best solver for non-smooth functions?

Cren 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:
> 	http://www.econ.uiuc.edu/~roger/research/risk/risk.html
> Roger Koenker
> rkoenker@

# 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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