A moment-matching method to generate arbitrage-free scenarios

DOI10.1016/J.EJOR.2015.04.045MaRDI QIDQ319831zbMATH OpenOpenAlexFDO

Authors Alessandro Staino, Emilio Russo

Publication date 6 October 2016

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

Full work available at URL https://doi.org/10.1016/j.ejor.2015.04.045

zbMATH Keywords

scenariosmoment-matchingmonomial method

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(7)

• Scenario tree generation and multi-asset financial optimization problems
• Comment on ``An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• Two-stage international portfolio models with higher moment risk measures
• Value function gradient learning for large-scale multistage stochastic programming problems
• A parsimonious model for generating arbitrage-free scenario trees
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization

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