Two new historical data based scenario tree generation methods

DOI10.3969/J.ISSN.1005-3085.2013.03.003MaRDI QIDQ4980375zbMATH OpenFDO

Authors Daobao Xu, Fang Zhang

Publication date 30 June 2014

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited in

(1)

• Scenario generation by selection from historical data

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