A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
DOI10.1007/S10479-019-03147-9zbMATH Open1457.91354OpenAlexW2914826273MaRDI QIDQ827151FDOQ827151
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
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Cited In (6)
- Systematic risk in the biopharmaceutical sector: a multiscale approach
- A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
- Training trees on tails with applications to portfolio choice
- Multi-stage portfolio selection problem with dynamic stochastic dominance constraints
- 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
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