Two new historical data based scenario tree generation methods

DOI10.3969/J.ISSN.1005-3085.2013.03.003zbMATH Open1299.91130MaRDI QIDQ4980375FDOQ4980375

Authors: Daobao Xu, Fang Zhang 

Publication date: 30 June 2014

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zbMATH Keywords

portfolio selectionscenario tree\(K\)-meansarbitrage opportunityscenario analysis

Mathematics Subject Classification ID

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

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