Scenario tree generation for multiperiod financial optimization of optimal discretization (Q5944953)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Scenario tree generation for multiperiod financial optimization of optimal discretization |
scientific article; zbMATH DE number 1655719
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Scenario tree generation for multiperiod financial optimization of optimal discretization |
scientific article; zbMATH DE number 1655719 |
Statements
Scenario tree generation for multiperiod financial optimization of optimal discretization (English)
0 references
20 June 2002
0 references
This paper shows how a scenario tree can be constructed in an optimal manner based on a simulation model of the underlying continuous-state financial process. It presents a method of estimating a tree-structured approximation to a given stochastic process which minimizes the distance of objective functions.
0 references
scenario tree
0 references
multiperiod optimization
0 references
transportation metric
0 references
Wasserstein metric
0 references
branch and bound
0 references
