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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

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Comment on "an algorithm for moment-matching scenario generation with application to financial portfolio optimization"

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From bond yield to macroeconomic instability : a parsimonious affine model

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An algorithm for moment-matching scenario generation with application to financial portfolio optimisation

Ponomareva, K.; Roman, D.; Date, P. - In: European Journal of Operational Research 240 (2015) 3, pp. 678-687

We present an algorithm for moment-matching scenario generation. This method produces scenarios and corresponding probability weights that match exactly the given mean, the covariance matrix, the average of the marginal skewness and the average of the marginal kurtosis of each individual...

Persistent link: https://www.econbiz.de/10010939780