A clustering approach for scenario tree reduction : an application to a stochastic programming portfolio optimization problem
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 |
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