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Scenario tree generation for multiperiod financial optimization by optimal discretization · Study

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ArticleScenario tree generation for multiperiod financial optimization by optimal discretization

Georg Ch. Pflug2001

Article2001

Scenario tree generation for multiperiod financial optimization by optimal discretization

Georg Ch. Pflug

337 citations·0/0 files stored·Mathematical Programming

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Risk and Portfolio Optimization Stochastic processes and financial applications Advanced Optimization Algorithms Research

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References

2011Introduction to Stochastic Programming 1993Moment Methods for Decision Analysis 1994Certainty Equivalents for Three-Point Discrete-Distribution Approximations

Cited by

2003A Multi-Stage Stochastic Integer Programming Approach for Capacity Expansion under Uncertainty 2007Scenario tree modeling for multistage stochastic programs 2018Stochastic dual dynamic integer programming 2014Monte Carlo sampling-based methods for stochastic optimization 2020Robust Stochastic Optimization Made Easy with RSOME 2013Twenty years of linear programming based portfolio optimization 2003Stability of Stochastic Programming Problems 2003Simulation and optimization approaches to scenario tree generation

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Year2001

Typearticle

Published2001-01-01

VenueMathematical Programming

ISSN-L0025-5610

Languageen

Citations337

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/pl00011398

openalex_workW2120991802

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