Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables

DOI10.1287/ijoc.2017.0790OpenAlexW2606727863MaRDI QIDQ5136075

Stein W. Wallace, Jamie Fairbrother, Amanda G. Turner

Publication date: 25 November 2020

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04935

zbMATH Keywords

stochastic programmingrisk measuresportfolio selectionscenario generation

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx)

Related Items

Special issue: topics in stochastic programming, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure

Uses Software

• GitHub
• TailRiskScenGen.jl

Cites Work

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