Parameter estimation in stochastic scenario generation systems
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Cites work
- scientific article; zbMATH DE number 605664 (Why is no real title available?)
- scientific article; zbMATH DE number 1054948 (Why is no real title available?)
- scientific article; zbMATH DE number 1062113 (Why is no real title available?)
- An Intertemporal Capital Asset Pricing Model
- An Intertemporal General Equilibrium Model of Asset Prices
- Importance Sampling for Stochastic Simulations
- Large Sample Properties of Generalized Method of Moments Estimators
- Large-scale linearly constrained optimization
- Multi-stage stochastic linear programs for portfolio optimization
- Problems in certain two-factor term structure models
- Risk, Return, and Utility
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulation and the Asymptotics of Optimization Estimators
- Simulation estimation of time-series models
- Solving long-term financial planning problems via global optimization
- Strategic financial risk management and operations research
Cited in
(10)- scientific article; zbMATH DE number 203243 (Why is no real title available?)
- Analysis of scenarios in the method of generalized interval estimations
- Management of non-maturing deposits by multistage stochastic programming
- Financial planning via multi-stage stochastic optimization.
- Strategic financial risk management and operations research
- Multi-objective meta-heuristics: An overview of the current state-of-the-art
- Managerial insights from service industry models: a new scenario decomposition method
- Improving performance for long-term investors: wide diversification, leverage, and overlay strategies
- Scenario Generation Methods that Replicate Crossing Times in Spatially Distributed Stochastic Systems
- Parameter estimation and random number generation to stable distributions
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