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Generating scenario trees: A parallel integrated simulation–optimization approach · Study

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ArticleGenerating scenario trees: A parallel integrated simulation–optimization approach

Patrizia Beraldi2009

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Articlebronze2009

Generating scenario trees: A parallel integrated simulation–optimization approach

Patrizia Beraldi · Francesco De Simone · Antonio Violi

48 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Risk and Portfolio Optimization Stochastic processes and financial applications Simulation Techniques and Applications

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References

1999Coherent Measures of Risk 2002Feature Article: Optimization for simulation: Theory vs. Practice 2001Generating Scenario Trees for Multistage Decision Problems 1999Handbook of simulation: Principles, methodology, advances, applications, and practice 2002Optimization for Simulation: Theory vs. Practice 2000Scenarios for Multistage Stochastic Programs 1983Simulating Multivariate Nonnormal Distributions 2003A Heuristic for Moment-Matching Scenario Generation

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2013A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem 2012Risk-averse two-stage stochastic programs in furniture plants 2011A decision support system for strategic asset allocation 2014Data-driven multi-stage scenario tree generation via statistical property and distribution matching 2020A fuzzy inference based scenario building in two-stage optimization framework for sustainable recycling supply chain redesign

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Year2009

Typearticle

Published2009-10-15

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations48

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.cam.2009.10.017

openalex_workW2009416611

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