A copula-based heuristic for scenario generation

This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods. Copyright Springer-Verlag Berlin Heidelberg 2014

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Year of publication:	2014
Authors:	Kaut, Michal
Published in:	Computational Management Science. - Springer. - Vol. 11.2014, 4, p. 503-516
Publisher:	Springer
Subject:	Stochastic programming \| Scenario generation \| Copulas

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010949669