scholarly journals An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

2015 ◽  
Vol 240 (3) ◽  
pp. 678-687 ◽  
Author(s):  
K. Ponomareva ◽  
D. Roman ◽  
P. Date
Keyword(s):  
Scenario Generation ◽  
Portfolio Optimisation ◽  
Moment Matching ◽  
Financial Portfolio

Multi-stage scenario generation by the combined moment matching and scenario reduction method

2014 ◽  
Vol 42 (5) ◽  
pp. 374-377 ◽  
Author(s):  
Uladzimir Rubasheuski ◽  
Johan Oppen ◽  
David L. Woodruff
Keyword(s):  
Reduction Method ◽  
Scenario Generation ◽  
Moment Matching ◽  
Scenario Reduction ◽  
Multi Stage

A Scenario Generation Method with Heteroskedasticity and Moment Matching

2011 ◽  
Vol 56 (3) ◽  
pp. 231-253 ◽  
Author(s):  
Erhan Deniz ◽  
James T. Luxhøj
Keyword(s):  
Scenario Generation ◽  
Moment Matching

Automatic Scenario Generation Through Procedural Modeling for Scenario-Based Training

2009 ◽  
Author(s):  
Glenn Martin ◽  
Sae Schatz ◽  
Clint Bowers ◽  
Charles E. Hughes ◽  
Jennifer Fowlkes ◽  
...  
Keyword(s):  
Scenario Generation ◽  
Procedural Modeling
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