Comment on “An algorithm for moment-matching scenario generation with application to financial portfolio optimization”

2018 ◽  
Vol 269 (3) ◽  
pp. 1180-1184
Author(s):  
Juan Pablo Contreras ◽  
Paul Bosch ◽  
Mauricio Herrera
Keyword(s):  
Portfolio Optimization ◽  
Scenario Generation ◽  
Moment Matching ◽  
Financial Portfolio

A moment matching approach to log-normal portfolio optimization

2016 ◽  
Vol 13 (4) ◽  
pp. 501-520
Author(s):  
Elçin Çetinkaya ◽  
Aurélie Thiele
Keyword(s):  
Portfolio Optimization ◽  
Moment Matching ◽  
Log Normal

Financial Portfolio Optimization

2021 ◽  
pp. 231-240
Author(s):  
Mansi Gupta ◽  
Sonali Semwal ◽  
Shivani Bali
Keyword(s):  
Portfolio Optimization ◽  
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

On the effectiveness of scenario generation techniques in single-period portfolio optimization

2009 ◽  
Vol 192 (2) ◽  
pp. 500-511 ◽  
Author(s):  
Gianfranco Guastaroba ◽  
Renata Mansini ◽  
M. Grazia Speranza
Keyword(s):  
Portfolio Optimization ◽  
Scenario Generation ◽  
Single Period
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