An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (Q300037): Difference between revisions

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-.1016/j.ejor.2014.07.049
@@ Property / DOI: 10.1016/j.ejor.2014.07.049 / rank @@
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+M. Dambrine
@@ Property / author: M. Dambrine / rank @@
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+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C15
@@ Property / Mathematics Subject Classification ID: 90C15 / rank @@
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@@ Property / zbMATH DE Number @@
+6597115
@@ Property / zbMATH DE Number: 6597115 / rank @@
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@@ Property / zbMATH Keywords @@
+scenarios
@@ Property / zbMATH Keywords: scenarios / rank @@
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@@ Property / zbMATH Keywords @@
+OR in banking
@@ Property / zbMATH Keywords: OR in banking / rank @@
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@@ Property / zbMATH Keywords @@
+finance
@@ Property / zbMATH Keywords: finance / rank @@
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+stochastic programming
@@ Property / zbMATH Keywords: stochastic programming / rank @@
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+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+A new algorithm for latent state estimation in non-linear time series models
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@@ Property / cites work @@
+HMM based scenario generation for an investment optimisation problem
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@@ Property / cites work @@
+Simulation and optimization approaches to scenario tree generation
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@@ Property / cites work @@
+Financial scenario generation for stochastic multi-stage decision processes as facility location problems
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@@ Property / cites work @@
+A heuristic for moment-matching scenario generation
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@@ Property / cites work @@
+Generating Scenario Trees for Multistage Decision Problems
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@@ Property / cites work @@
+Q5444109
@@ Property / cites work: Q5444109 / rank @@
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@@ Property / cites work @@
+An Approximate Method for Sampling Correlated Random Variables from Partially-Specified Distributions
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@@ Property / cites work @@
+Hidden Markov models for scenario generation
@@ Property / cites work: Hidden Markov models for scenario generation / rank @@
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@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
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@@ Property / cites work @@
+Scenario tree generation for multiperiod financial optimization of optimal discretization
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@@ Property / cites work @@
+Higher order sigma point filter: a new heuristic for nonlinear time series filtering
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@@ Property / cites work @@
+Hidden Markov models for financial optimization problems
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@@ Property / cites work @@
+Moment Methods for Decision Analysis
@@ Property / cites work: Moment Methods for Decision Analysis / rank @@
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@@ Property / cites work @@
+Applications of Stochastic Programming
@@ Property / cites work: Applications of Stochastic Programming / rank @@
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@@ Property / DOI @@
+.1016/J.EJOR.2014.07.049
@@ Property / DOI: 10.1016/J.EJOR.2014.07.049 / rank @@
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+Publication:300037