A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
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Publication:827151
DOI10.1007/s10479-019-03147-9zbMath1457.91354OpenAlexW2914826273MaRDI QIDQ827151
Zhiping Chen, Zhe Yan, Giorgio Consigli, Jia Liu, Ming Jin
Publication date: 6 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03147-9
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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Cites Work
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