library("PSG") rm(list = setdiff(ls(), lsf.str())) load(paste(dirname(sys.frame(1)$ofile),"/problem_cs_hedging_portfolio_of_options_short_data.RData",sep = "")) input.model <- list() input.model$d <- d input.model$risk2 <- "cvar_risk" input.model$w2 <- 0.95 input.model$H2 <- H2 input.model$c2 <- c2 input.model$rineq <- 525 input.model$lb <- 0 input.model$ub<- ub results <- rpsg_riskconstrprog(input.model) print(results)