Simulation and optimization approaches to scenario tree generation
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Publication:953641
DOI10.1016/S0165-1889(03)00113-1zbMath1200.91280OpenAlexW2158958516MaRDI QIDQ953641
Reuben Settergren, Nalân Gülpinar, Berc Rustem
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(03)00113-1
Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)
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Uses Software
Cites Work
- Generating Scenario Trees for Multistage Decision Problems
- A hybrid simulation/optimisation scenario model for asset/liability management
- Discretized reality and spurious profits in stochastic programming models for asset/liability management
- Cluster analysis and mathematical programming
- Solving multistage stochastic network programs on massively prallel computers
- The optimal discretization of probability density functions
- Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
- Algorithm 659
- Stochastic Network Programming for Financial Planning Problems
- The analysis of finite security markets using martingales
- On the distribution of points in a cube and the approximate evaluation of integrals
- 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
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