An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

K. Ponomareva; D. Roman; P. Date

Year of publication:	2015
Authors:	Ponomareva, K. ; Roman, D. ; Date, P.
Published in:	European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 240.2015, 3 (1.2.), p. 678-687
Subject:	Scenarios \| OR in banking \| Finance \| Stochastic programming \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Algorithmus \| Algorithm \| Theorie \| Theory \| Szenariotechnik \| Scenario analysis

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