A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems

Recursive risk measures under regime switching applied to portfolio selection

(2017) Zhiping Chen et al.   QUANTITATIVE FINANCE

A parsimonious model for generating arbitrage-free scenario trees

(2016) Andrea Consiglio et al.   QUANTITATIVE FINANCE

Dynamic generation of scenario trees

(2015) Georg Ch. Pflug et al.   COMPUTATIONAL OPTIMIZATION AND APPLICATIONS

Designing and pricing guarantee options in defined contribution pension plans

(2015) Andrea Consiglio et al.   INSURANCE MATHEMATICS & ECONOMICS

Data-driven multi-stage scenario tree generation via statistical property and distribution matching

(2014) B.A. Calfa et al.   COMPUTERS & CHEMICAL ENGINEERING

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

(2014) Uladzimir Rubasheuski et al.   OPERATIONS RESEARCH LETTERS

Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem

(2013) Zhiping Chen et al.   APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

Generating Moment Matching Scenarios Using Optimization Techniques

(2013) Sanjay Mehrotra et al.   SIAM JOURNAL ON OPTIMIZATION

Scenario tree generation approaches using K-means and LP moment matching methods

(2012) Daobao Xu et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Path-dependent scenario trees for multistage stochastic programmes in finance

(2010) Giorgio Consigli et al.   QUANTITATIVE FINANCE