An algorithm for moment-matching scenario generation with application to financial portfolio optimisation
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Publication:300037
DOI10.1016/j.ejor.2014.07.049zbMath1338.91137OpenAlexW2074036729MaRDI QIDQ300037
F. Blanchet-Sadri, M. Dambrine
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/10045
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Uses Software
Cites Work
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