Scenario tree generation and multi-asset financial optimization problems
Alois Geyer; Michael Hanke; Alex Weissensteiner
| Year of publication: |
2013
|
|---|---|
| Authors: | Geyer, Alois ; Hanke, Michael ; Weissensteiner, Alex |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 41.2013, 5, p. 494-498
|
| Subject: | Scenario trees | No-arbitrage | Financial optimization | Moment matching | Scenario reduction | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Szenariotechnik | Scenario analysis | Dynamische Optimierung | Dynamic programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010189850