A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Zhe Yan, Zhiping Chen, Giorgio Consigli, Jia Liu, Ming Jin
| Year of publication: |
2020
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|---|---|
| Authors: | Yan, Zhe ; Chen, Zhiping ; Consigli, Giorgio ; Liu, Jia ; Jin, Ming |
| Published in: |
Stochastic optimization: theory and applications. - New York, NY, USA : Springer. - 2020, p. 849-881
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| Subject: | Copula | Scenario tree generation | Tail of the distribution | Portfolio selection | Theorie | Theory | Portfolio-Management | Multivariate Verteilung | Multivariate distribution | Mathematische Optimierung | Mathematical programming | Szenariotechnik | Scenario analysis | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-019-03147-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012290846