On the effectiveness of scenario generation techniques in single-period portfolio optimization

DOI10.1016/j.ejor.2007.09.042zbMath1157.91359OpenAlexW2078950506MaRDI QIDQ1011180

J. Martínez

Publication date: 8 April 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.042

zbMATH Keywords

portfolio optimizationmixed integer linear programmingrisk managementconditional value at riskscenario generation

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items (22)

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Uses Software

• bootstrap

Cites Work

• Unnamed Item
• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• ARCH modeling in finance. A review of the theory and empirical evidence
• A stochastic programming model for funding single premium deferred annuities
• Generalized autoregressive conditional heteroscedasticity
• Bootstraps for time series
• Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
• Stochastic Network Programming for Financial Planning Problems
• LP solvable models for portfolio optimization: a classification and computational comparison
• Dual Stochastic Dominance and Related Mean-Risk Models
• On blocking rules for the bootstrap with dependent data

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