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

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+Generalized autoregressive conditional heteroscedasticity
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+A new algorithm for latent state estimation in non-linear time series models
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+HMM based scenario generation for an investment optimisation problem
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+Financial scenario generation for stochastic multi-stage decision processes as facility location problems
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+A heuristic for moment-matching scenario generation
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+Generating Scenario Trees for Multistage Decision Problems
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+Hidden Markov models for scenario generation
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+Scenario tree generation for multiperiod financial optimization of optimal discretization
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