A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
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Publication:827151
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Cites work
- scientific article; zbMATH DE number 5991596 (Why is no real title available?)
- scientific article; zbMATH DE number 3340881 (Why is no real title available?)
- A Theorem on Expectations and the Stability of Equilibrium
- A copula-based heuristic for scenario generation
- A parsimonious model for generating arbitrage-free scenario trees
- An introduction to copulas.
- Autoregressive Conditional Density Estimation
- Comparison of Sampling Methods for Dynamic Stochastic Programming
- Designing and pricing guarantee options in defined contribution pension plans
- Dynamic generation of scenario trees
- Financial scenario generation for stochastic multi-stage decision processes as facility location problems
- Generating moment matching scenarios using optimization techniques
- Generating scenario trees for multistage decision problems
- Introduction to stochastic programming.
- Lectures on Stochastic Programming
- Multi-stage scenario generation by the combined moment matching and scenario reduction method
- Multistage stochastic optimization
- Path-dependent scenario trees for multistage stochastic programmes in finance
- Quantitative risk management. Concepts, techniques and tools
- Recursive risk measures under regime switching applied to portfolio selection
- Scenario tree generation approaches using K-means and LP moment matching methods
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenario tree modeling for multistage stochastic programs
- Stability analysis for stochastic programs
- Stochastic optimization models in finance
Cited in
(9)- Systematic risk in the biopharmaceutical sector: a multiscale approach
- A study on modeling the dynamics of statistically dependent returns
- Training trees on tails with applications to portfolio choice
- A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
- Portfolio selection based on a simulated copula
- Scenario generation and portfolio selection in bear market with GARCH models
- Multi-period portfolio selection with investor views based on scenario tree
- Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
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