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
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| 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 |
Kommentar in:
Contreras, Juan Pablo. Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization", in: European journal of operational research. - EJOR, ISSN 0377-2217, ZDB-ID 243003-4, 16 September 2018. - Bd. 269, Heft 3, Seite 1180-1184
Persistent link: https://www.econbiz.de/10010486971