Financial scenario generation for stochastic multi-stage decision processes as facility location problems

DOI10.1007/s10479-006-0140-6zbMath1144.90442OpenAlexW2146245948WikidataQ59255028 ScholiaQ59255028MaRDI QIDQ2480248

Ronald Hochreiter, Georg Ch. Pflug

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0140-6

zbMATH Keywords

stochastic programmingmulti-stage financial scenario generation

Mathematics Subject Classification ID

Related Items (44)

A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems ⋮ An algorithm for moment-matching scenario generation with application to financial portfolio optimisation ⋮ Improving the performance of the stochastic dual dynamic programming algorithm using Chebyshev centers ⋮ A moment-matching method to generate arbitrage-free scenarios ⋮ An empirical analysis of scenario generation methods for stochastic optimization ⋮ On stochastic \(k\)-facility location ⋮ Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION ⋮ Unnamed Item ⋮ Importance sampling in stochastic optimization: an application to intertemporal portfolio choice ⋮ Semi-discrete optimal transport: hardness, regularization and numerical solution ⋮ Scenario tree generation approaches using K-means and LP moment matching methods ⋮ A Multi-stage Stochastic Programming Model for Managing Risk-optimal Electricity Portfolios ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ Hedging Market and Credit Risk in Corporate Bond Portfolios ⋮ Hedging Electricity Portfolio for a Hydro-energy Producer via Stochastic Programming ⋮ Scenario Tree Generation for Multi-stage Stochastic Programs ⋮ Approximations for Probability Distributions and Stochastic Optimization Problems ⋮ Comparison of Sampling Methods for Dynamic Stochastic Programming ⋮ Step decision rules for multistage stochastic programming: a heuristic approach ⋮ Scenario tree generation and multi-asset financial optimization problems ⋮ A Stochastic Integer Programming Approach to Air Traffic Scheduling and Operations ⋮ Two-stage portfolio optimization with higher-order conditional measures of risk ⋮ A dynamic stochastic programming model for international portfolio management ⋮ Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Stochastic vs deterministic programming in water management: the value of flexibility ⋮ The decision rule approach to optimization under uncertainty: methodology and applications ⋮ Epi-convergent discretizations of stochastic programs via integration quadratures ⋮ Scenario tree reduction for multistage stochastic programs ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Multi-stage scenario generation by the combined moment matching and scenario reduction method ⋮ A moment matching approach to log-normal portfolio optimization ⋮ A new moment matching algorithm for sampling from partially specified symmetric distributions ⋮ Scenario tree modeling for multistage stochastic programs ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach ⋮ Scenario Reduction Techniques in Stochastic Programming ⋮ Bounds for Multistage Stochastic Programs Using Supervised Learning Strategies ⋮ Convergent bounds for stochastic programs with expected value constraints ⋮ A parsimonious model for generating arbitrage-free scenario trees ⋮ Path-dependent scenario trees for multistage stochastic programmes in finance ⋮ Risk management for international portfolios with basket options: A multi-stage stochastic programming approach ⋮ Optimal annuity portfolio under inflation risk ⋮ Scenario reduction revisited: fundamental limits and guarantees

Uses Software

• AMPL

Cites Work

• Unnamed Item
• Unnamed Item
• A Modeling Language for Mathematical Programming
• Generating Scenario Trees for Multistage Decision Problems
• Scenario reduction in stochastic programming
• Epi-convergent discretizations of stochastic programs via integration quadratures
• Scenario reduction algorithms in stochastic programming
• Variance reduction in sample approximations of stochastic programs
• Probability Metrics
• Calculation of the Wasserstein Distance Between Probability Distributions on the Line
• Applications of Stochastic Programming
• Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
• Epi-Convergent Discretizations of Multistage Stochastic Programs
• Scenarios for multistage stochastic programs
• Scenario tree generation for multiperiod financial optimization of optimal discretization
• Scenario generation and stochastic programming models for asset liability management

This page was built for publication: Financial scenario generation for stochastic multi-stage decision processes as facility location problems