Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"
Juan Pablo Contreras, Paul Bosch, Mauricio Herrera
| Year of publication: |
16 September 2018
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| Authors: | Contreras, Juan Pablo ; Bosch, Paul ; Herrera, Mauricio |
| Other Persons: | Ponomareva, K. (contributor) ; Roman, D. (contributor) ; Date, P. (contributor) ; Ponomareva, K. (contributor) |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 269.2018, 3 (16.9.), p. 1180-1184
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| Subject: | Scenarios | Finance | Moment matching | Portfolio-Management | Portfolio selection | Theorie | Theory | Algorithmus | Algorithm | Szenariotechnik | Scenario analysis |