Scenario tree generation and multi-asset financial optimization problems

DOI10.1016/J.ORL.2013.06.003MaRDI QIDQ2450698zbMATH OpenOpenAlexFDO

Authors Alois Geyer, Michael Hanke, 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

financial optimizationmoment matchingno-arbitragescenario reductionscenario trees

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(16)

• A study on modeling the dynamics of statistically dependent returns
• Multi-stage scenario generation by the combined moment matching and scenario reduction method
• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• Multi-asset scenario building for trend-following trading strategies
• Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
• No-arbitrage bounds for financial scenarios
• A multistage stochastic programming framework for cardinality constrained portfolio optimization
• A moment-matching method to generate arbitrage-free scenarios
• Global Optimization of the Scenario Generation and Portfolio Selection Problems
• Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
• Two new historical data based scenario tree generation methods
• A parsimonious model for generating arbitrage-free scenario trees
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Simulation and optimization approaches to scenario tree generation
• No-arbitrage conditions, scenario trees, and multi-asset financial optimization

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