Knowledge-based scenario tree generation methods and application in multiperiod portfolio selection problem-Reference-Cited by-同舟云学术

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

Published:2013-04-02 Issue:3 Volume:30 Page:240-257
ISSN:1524-1904
Container-title:Applied Stochastic Models in Business and Industry
language:en
Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Chen Zhiping¹,Xu Daobao¹

Affiliation:

1. Department of Computing Science, School of Mathematics and Statistics; Xi'an Jiaotong University; 710049 Xi'an, Shaanxi China

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modeling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/asmb.1970/fullpdf

Reference41 articles.

1. The Russell-Yasuda Kasai model: an asset liability model for a Japanese insurance company using multistage stochastic programming;Carino;Interfaces,1994

2. Scenario generation and stochastic programming models for asset liability management;Kouwenberg;European Journal of Operational Research,2001

3. Global convergence of a general sampling algorithm for dynamic nonlinear stochastic programs;Chen;Numerical Functional Analysis and Optimization,2002

4. EVPI-based importance sampling solution procedures for multistage stochastic linear programmes on parallel MIMD architectures;Dempster;Annals of Operations Research,1999

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