A clustering approach for scenario tree reduction : an application to a stochastic programming portfolio optimization problem
Patrizia Beraldi; Maria Elena Bruni
| Year of publication: |
2014
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|---|---|
| Authors: | Beraldi, Patrizia ; Bruni, Maria Elena |
| Published in: |
Top : transactions in operations research. - [Berlin] : Springer, ISSN 1134-5764, ZDB-ID 1205918-3. - Vol. 22.2014, 3, p. 934-949
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| Subject: | Scenario tree reduction | Clustering algorithms | Stochastic programming | Portfolio optimization | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Szenariotechnik | Scenario analysis | Clusteranalyse | Cluster analysis | Theorie | Theory | Algorithmus | Algorithm |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010437107