Simulation and optimization approaches to scenario tree generation

[1]  I. Sobol On the distribution of points in a cube and the approximate evaluation of integrals , 1967 .

[2]  Walter Willinger,et al.  The analysis of finite security markets using martingales , 1987, Advances in Applied Probability.

[3]  Paul Bratley,et al.  Algorithm 659: Implementing Sobol's quasirandom sequence generator , 1988, TOMS.

[4]  J. Mulvey,et al.  Stochastic network programming for financial planning problems , 1992 .

[5]  W. Ziemba,et al.  The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming , 1994 .

[6]  Stavros A. Zenios,et al.  Solving multistage stochastic network programs on massively parallel computers , 1996, Math. Program..

[7]  J. Mulvey Generating Scenarios for the Towers Perrin Investment System , 1996 .

[8]  W. N. Street,et al.  Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/ Liability Management: a Synthesis , 1996 .

[9]  Pierre Hansen,et al.  Cluster analysis and mathematical programming , 1997, Math. Program..

[10]  G. Boender A hybrid simulation/optimisation scenario model for asset/liability management , 1997 .

[11]  Pieter Klaassen,et al.  Discretized Reality and Spurious Profits in Stochastic Programming Models for Asset/Liability Management , 1996 .

[12]  Ton VorstyJuly Dynamic Portfolio Insurance: A Stochastic Programming Approach , 1998 .

[13]  Nicos Christofides,et al.  The optimal discretization of probability density functions , 1999 .

[14]  Jitka Dupacová,et al.  Scenarios for Multistage Stochastic Programs , 2000, Ann. Oper. Res..

[15]  Stein W. Wallace,et al.  Generating Scenario Trees for Multistage Decision Problems , 2001, Manag. Sci..

[16]  Georg Ch. Pflug,et al.  Scenario tree generation for multiperiod financial optimization by optimal discretization , 2001, Math. Program..

[17]  Roy Kouwenberg,et al.  Scenario generation and stochastic programming models for asset liability management , 2001, Eur. J. Oper. Res..

[18]  Berç Rustem,et al.  Multistage Stochastic Programming in Computational Finance , 2002 .

[19]  Numerical Algorithms Group , 2002 .

[20]  B. Jaumard,et al.  Cluster Analysis and Mathematical Programming , 2003 .

[21]  Frances Y. Kuo,et al.  Remark on algorithm 659: Implementing Sobol's quasirandom sequence generator , 2003, TOMS.

[22]  Reuben Settergren,et al.  Multistage Stochastic Mean-Variance Portfolio Analysis with Transaction Costs , 2004 .