Evolutionary multi-stage financial scenario tree generation
Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper.
Year of publication: |
2009-12
|
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Authors: | Hochreiter, Ronald |
Institutions: | arXiv.org |
Saved in:
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