An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

DOI10.1016/J.EJOR.2014.07.049MaRDI QIDQ300037zbMATH OpenOpenAlexFDO

Authors K. Ponomareva, D. Roman, P. Date

Publication date 23 June 2016

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

Full work available at URL http://bura.brunel.ac.uk/handle/2438/10045

zbMATH Keywords

financescenariosstochastic programmingOR in banking

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• A heuristic for moment-matching scenario generation
• A new algorithm for latent state estimation in non-linear time series models
• An approximate method for sampling corrrelated random variables from partially-specified distributions.
• Applications of Stochastic Programming
• Evaluation of scenario generation methods for stochastic programming
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Generalized autoregressive conditional heteroscedasticity
• Generating scenario trees for multistage decision problems
• HMM based scenario generation for an investment optimisation problem
• Hidden Markov models for financial optimization problems
• Hidden Markov models for scenario generation
• Higher order sigma point filter: a new heuristic for nonlinear time series filtering
• Moment Methods for Decision Analysis
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Simulation and optimization approaches to scenario tree generation
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(11)

• Generating moment matching scenarios using optimization techniques
• A New Scenario Reduction Method Based on Higher-Order Moments
• Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• A new moment matching algorithm for sampling from partially specified symmetric distributions
• Value function gradient learning for large-scale multistage stochastic programming problems
• A moment-matching method to generate arbitrage-free scenarios
• Expected shortfall: heuristics and certificates
• A heuristic for moment-matching scenario generation
• On the effectiveness of scenario generation techniques in single-period portfolio optimization
• Monte Carlo approximate tensor moment simulations.
• Global Optimization of the Scenario Generation and Portfolio Selection Problems

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Uses Software

• AMPL

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