A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems

DOI10.1007/s10479-019-03147-9zbMath1457.91354OpenAlexW2914826273MaRDI QIDQ827151

Zhiping Chen, Zhe Yan, Giorgio Consigli, Jia Liu, Ming Jin

Publication date: 6 January 2021

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

Full work available at URL: https://doi.org/10.1007/s10479-019-03147-9

zbMATH Keywords

copulaportfolio selectionscenario tree generationtail of the distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas ⋮ Multi-stage portfolio selection problem with dynamic stochastic dominance constraints ⋮ Training trees on tails with applications to portfolio choice ⋮ Systematic risk in the biopharmaceutical sector: a multiscale approach

Uses Software

• QRM

Cites Work

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