A moment-matching method to generate arbitrage-free scenarios

DOI10.1016/J.EJOR.2015.04.045zbMATH Open1346.91221OpenAlexW270607477MaRDI QIDQ319831FDOQ319831

Emilio Russo, Alessandro Staino

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

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zbMATH Keywords

scenariosmoment-matchingmonomial method

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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Cited In (3)

• Two-stage international portfolio models with higher moment risk measures
• Value function gradient learning for large-scale multistage stochastic programming problems
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