Scenario tree generation and multi-asset financial optimization problems

DOI10.1016/j.orl.2013.06.003zbMath1286.91150OpenAlexW3125047068MaRDI QIDQ2450698

Michael Hanke, Alois Geyer, Alex Weissensteiner

Publication date: 15 May 2014

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: http://epub.wu.ac.at/4131/1/scenrednum25_SSRN.pdf

zbMATH Keywords

moment matchingscenario reductionno-arbitragefinancial optimizationscenario trees

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (8)

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization ⋮ A study on modeling the dynamics of statistically dependent returns ⋮ Multi-stage scenario generation by the combined moment matching and scenario reduction method ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach ⋮ No-arbitrage bounds for financial scenarios

Cites Work

• Generating Scenario Trees for Multistage Decision Problems
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization
• Scenario tree modeling for multistage stochastic programs
• Mortgage loan portfolio optimization using multi-stage stochastic programming
• A heuristic for moment-matching scenario generation
• Scenario reduction algorithms in stochastic programming
• A dynamic stochastic programming model for international portfolio management
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Horizon and stages in applications of stochastic programming in finance
• Comment on “Generating Scenario Trees for Multistage Decision Problems”
• Scenario tree generation for multiperiod financial optimization of optimal discretization

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