Overview of scenario tree generation methods, applied in financial and economic decision making
نویسندگان
چکیده
منابع مشابه
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 th...
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1 Abstract. Multiperiod nancial optimization is usually based on a stochastic model for the possible market situations. There is a rich literature about modeling and estimation of continuous-state nancial processes, but little attention has been paid how to approximate such a process by a discrete-state scenario process and how to measure the pertaining approximation error. In this paper we sho...
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ژورنال
عنوان ژورنال: Periodica Polytechnica Social and Management Sciences
سال: 2006
ISSN: 1416-3837,1587-3803
DOI: 10.3311/pp.so.2006-1.04