No-arbitrage conditions, scenario trees, and multi-asset financial optimization

DOI10.1016/J.EJOR.2010.03.022MaRDI QIDQ976498zbMATH OpenOpenAlexFDO

Authors Alois Geyer, Michael Hanke, Alex Weissensteiner

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

zbMATH Keywords

uncertainty modelingfinancial optimizationscenario treessparse trees

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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Cited in

(25)

• No-arbitrage bounds for financial scenarios
• Scenario generation with distribution functions and correlations
• A note on sample complexity of multistage stochastic programs
• Financial planning for Young households
• Optimal investment for a retirement plan with deferred annuities
• A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
• Scenario tree generation and multi-asset financial optimization problems
• No-arbitrage ROM simulation
• Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
• A linear risk-return model for enhanced indexation in portfolio optimization
• Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Comparison of Sampling Methods for Dynamic Stochastic Programming
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario tree generation approaches using K-means and LP moment matching methods
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs
• A moment-matching method to generate arbitrage-free scenarios
• Practical arbitrage‐free scenario tree reduction methods and their applications in financial optimization
• Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
• A framework for crude oil scheduling in an integrated terminal-refinery system under supply uncertainty
• A parsimonious model for generating arbitrage-free scenario trees
• Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
• Arbitrage conditions for electricity markets with production and storage
• Designing and pricing guarantee options in defined contribution pension plans
• Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness

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