Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
From MaRDI portal
Publication:6570573
DOI10.1002/ASMB.1970MaRDI QIDQ6570573FDOQ6570573
Authors: Zhiping Chen, Daobao Xu 
Publication date: 10 July 2024
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Cites Work
- EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures
- Generating scenario trees for multistage decision problems
- Scenario tree modeling for multistage stochastic programs
- Scenario reduction in stochastic programming
- Scenario reduction algorithms in stochastic programming
- Scenario tree reduction for multistage stochastic programs
- A note on scenario reduction for two-stage stochastic programs
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- A distance for multistage stochastic optimization models
- Comment on “Generating Scenario Trees for Multistage Decision Problems”
- No-arbitrage conditions, scenario trees, and multi-asset financial optimization
- Tree Approximations of Dynamic Stochastic Programs
- Epi-Convergent Discretizations of Multistage Stochastic Programs
- The Scenario Generation Algorithm for Multistage Stochastic Linear Programming
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Multistage \(K\)-means clustering for scenario tree construction
- Evaluation of scenario generation methods for stochastic programming
- Scenarios for multistage stochastic programs
- Scenario reduction in stochastic programming with respect to discrepancy distances
- Simulation and optimization approaches to scenario tree generation
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Stochastic Network Programming for Financial Planning Problems
- Scenario generation and stochastic programming models for asset liability management
- Scenario tree generation approaches using K-means and LP moment matching methods
- Optimal pension fund management under multi-period risk minimization
- GLOBAL CONVERGENCE OF A GENERAL SAMPLING ALGORITHM FOR DYNAMIC NONLINEAR STOCHASTIC PROGRAMS
- Barycentric scenario trees in convex multistage stochastic programming
- Generalized bounds for convex multistage stochastic programs.
- A review of scenario generation methods
- Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control
Cited In (1)
This page was built for publication: Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6570573)
