An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
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Publication:300037
DOI10.1016/J.EJOR.2014.07.049zbMATH Open1338.91137OpenAlexW2074036729MaRDI QIDQ300037FDOQ300037
P. Date, D. Roman, K. Ponomareva
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
Cites Work
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- Simulation and optimization approaches to scenario tree generation
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- HMM based scenario generation for an investment optimisation problem
- 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.
- Hidden Markov models for scenario generation
- Hidden Markov models for financial optimization problems
- Moment Methods for Decision Analysis
- Higher order sigma point filter: a new heuristic for nonlinear time series filtering
Cited In (5)
- 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
- Value function gradient learning for large-scale multistage stochastic programming problems
- Expected shortfall: heuristics and certificates
- A heuristic for moment-matching scenario generation
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