Simulation and optimization approaches to scenario tree generation
From MaRDI portal
Recommendations
- Dynamic generation of scenario trees
- Scenario tree generation and multi-asset financial optimization problems
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Generating scenario trees: a parallel integrated simulation-optimization approach
- Scenario tree generation approaches using K-means and LP moment matching methods
Cites work
- A hybrid simulation/optimisation scenario model for asset/liability management
- Algorithm 659
- Cluster analysis and mathematical programming
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis
- Generating scenario trees for multistage decision problems
- On the distribution of points in a cube and the approximate evaluation of integrals
- Scenario generation and stochastic programming models for asset liability management
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Scenarios for multistage stochastic programs
- Solving multistage stochastic network programs on massively prallel computers
- Stochastic Network Programming for Financial Planning Problems
- The analysis of finite security markets using martingales
- The optimal discretization of probability density functions
Cited in
(42)- Robust portfolio selection based on a multi-stage scenario tree
- Post-tax optimization with stochastic programming
- Generating applicable synthetic instances for branch problems
- Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem
- A global parallel model based design of experiments method to minimize model output uncer\-tainty
- From empirical observations to tree models for stochastic optimization: convergence properties
- 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
- An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
- Scenarios in decision-support systems: Generation, estimation, and choice
- Multi-period portfolio optimization with linear control policies
- A mixed integer programming model for multistage mean-variance post-tax optimization
- Tax impact on multi-stage mean-variance portfolio allocation
- A combined stochastic programming and optimal control approach to personal finance and pensions
- Generating scenario trees: a parallel integrated simulation-optimization approach
- Pricing reinsurance contracts
- A new moment matching algorithm for sampling from partially specified symmetric distributions
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
- Value function gradient learning for large-scale multistage stochastic programming problems
- A moment-matching method to generate arbitrage-free scenarios
- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Analysis of relationship between forward and spot markets in oligopolies under demand and cost uncertainties
- Scenario tree generation approaches using K-means and LP moment matching methods
- A collaborative planning approach for intermodal freight transportation
- A general framework for multistage mean-variance post-tax optimization
- Robust optimal decisions with imprecise forecasts
- Solving dynamic stochastic economic models by mathematical programming decomposition methods
- Efficient solution selection for two-stage stochastic programs
- A robust asset-liability management framework for investment products with guarantees
- Dynamic generation of scenario trees
- Two new historical data based scenario tree generation methods
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- Comment on “Generating Scenario Trees for Multistage Decision Problems”
- Robust investment strategies with discrete asset choice constraints using DC programming
- Asset liability management for open pension schemes using multistage stochastic programming under Solvency-II-based regulatory constraints
- A study on modeling the dynamics of statistically dependent returns
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
- Scenario Tree Generation for Multi-stage Stochastic Programs
- Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
- Global Optimization of the Scenario Generation and Portfolio Selection Problems
This page was built for publication: Simulation and optimization approaches to scenario tree generation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953641)
