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A Heuristic for Moment-Matching Scenario Generation · Study

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ArticleA Heuristic for Moment-Matching Scenario Generation

Kjetil Høyland2003

Article2003

A Heuristic for Moment-Matching Scenario Generation

Kjetil Høyland · Michal Kaut · Stein W. Wallace

404 citations·0/0 files stored·Computational Optimization and Applications

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Simulation Techniques and Applications

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References

2001Generating Scenario Trees for Multistage Decision Problems 1983Simulating Multivariate Nonnormal Distributions

Cited by

2007Scenario tree modeling for multistage stochastic programs 2014Monte Carlo sampling-based methods for stochastic optimization 2009Correlation control in small-sample Monte Carlo type simulations I: A simulated annealing approach 2008Scenario tree reduction for multistage stochastic programs 2011Progressive hedging‐based metaheuristics for stochastic network design 2006A dynamic stochastic programming model for international portfolio management 2008Product variety arising from hedging in the fashion supply chains 2009A simple heuristic for reducing the number of scenarios in two-stage stochastic programming

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2009Generating scenario trees: A parallel integrated simulation–optimization approacharticle · 2 shared references 2011Self-concept and academic achievement: A meta-analysis of longitudinal relationsreview · 1 shared reference 2017A framework for sensitivity analysis of decision treesarticle · 1 shared reference 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Managementarticle · 1 shared reference 2003Evaluation of scenario-generation methods for stochastic programmingarticle · 1 shared reference 2000Scenarios for Multistage Stochastic Programsarticle · 1 shared reference

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Year2003

Typearticle

Published2003-02-01

VenueComputational Optimization and Applications

ISSN-L0926-6003

Languageen

Citations404

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1023/a:1021853807313

openalex_workW1553000336

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