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

DOI10.1016/J.EJOR.2018.02.028zbMath1390.91277OpenAlexW2789854202MaRDI QIDQ1749530

Mauricio Herrera, Paul Bosch, Juan Pablo Contreras

Publication date: 17 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.02.028

zbMATH Keywords

financescenariosmoment matching

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Generating Scenario Trees for Multistage Decision Problems
• An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
• Higher order sigma point filter: a new heuristic for nonlinear time series filtering
• A new algorithm for latent state estimation in non-linear time series models

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