An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (Q300037)
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scientific article; zbMATH DE number 6597115
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| English | An algorithm for moment-matching scenario generation with application to financial portfolio optimisation |
scientific article; zbMATH DE number 6597115 |
Statements
An algorithm for moment-matching scenario generation with application to financial portfolio optimisation (English)
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23 June 2016
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scenarios
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OR in banking
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finance
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stochastic programming
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0.8694059252738953
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0.8302040696144104
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0.8026350140571594
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0.7853851318359375
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0.7758910655975342
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