A NOVEL METHOD FOR MULTISTAGE SCENARIO GENERATION BASED ON CLUSTER ANALYSIS

Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming portfolio model, a case is given to exhibit the virtues of this scenario generation approach.

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Year of publication:	2006
Authors:	JI, XIAODONG ; ZHAO, XIUJUAN ; CHAO, XIULI
Published in:	International Journal of Information Technology & Decision Making (IJITDM). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6845. - Vol. 05.2006, 03, p. 513-530
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Dynamic portfolio selection \| stochastic linear goal programming model \| multistage scenario generation \| cluster analysis \| arbitrage

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004971631