No-arbitrage conditions, scenario trees, and multi-asset financial optimization
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Publication:976498
DOI10.1016/J.EJOR.2010.03.022zbMATH Open1188.91242OpenAlexW1964976844MaRDI QIDQ976498FDOQ976498
Michael Hanke, Alex Weissensteiner, Alois Geyer
Publication date: 11 June 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.03.022
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Cited In (25)
- A linear risk-return model for enhanced indexation in portfolio optimization
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Designing and pricing guarantee options in defined contribution pension plans
- Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
- Arbitrage conditions for electricity markets with production and storage
- Scenario tree generation and multi-asset financial optimization problems
- A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
- Comparison of Sampling Methods for Dynamic Stochastic Programming
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- A moment-matching method to generate arbitrage-free scenarios
- Optimal investment for a retirement plan with deferred annuities
- Scenario tree generation approaches using K-means and LP moment matching methods
- A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
- A note on sample complexity of multistage stochastic programs
- A parsimonious model for generating arbitrage-free scenario trees
- Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness
- Financial planning for Young households
- No-arbitrage ROM simulation
- Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
- No-arbitrage bounds for financial scenarios
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