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http://bura.brunel.ac.uk/handle/2438/10045
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DC Field | Value | Language |
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dc.contributor.author | Date, P | - |
dc.contributor.author | Ponomareva, K | - |
dc.contributor.author | Roman, D | - |
dc.date.accessioned | 2015-02-02T09:47:34Z | - |
dc.date.available | 2015 | - |
dc.date.available | 2015-02-02T09:47:34Z | - |
dc.date.issued | 2015 | - |
dc.identifier.citation | European Journal of Operational Research, 2015, 240 (3), pp. 678 - 687 | en_US |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/10045 | - |
dc.description.abstract | 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 component of a random vector. Optimisation is not employed in the scenario generation process and thus the method is computationally more advantageous than previous approaches. The algorithm is used for generating scenarios in a mean-CVaR portfolio optimisation model. For the chosen optimisation example, it is shown that desirable properties for a scenario generator are satisfied, including in-sample and out-of-sample stability. It is also shown that optimal solutions vary only marginally with increasing number of scenarios in this example; thus, good solutions can apparently be obtained with a relatively small number of scenarios. The proposed method can be used either on its own as a computationally inexpensive scenario generator or as a starting point for non-convex optimisation based scenario generators which aim to match all the third and the fourth order marginal moments (rather than average marginal moments). | en_US |
dc.format.extent | 678 - 687 | - |
dc.format.extent | 678 - 687 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_US |
dc.subject | Scenarios | en_US |
dc.subject | Banking | en_US |
dc.subject | Finance | en_US |
dc.subject | Stochastic programming | en_US |
dc.title | An algorithm for moment-matching scenario generation with application to financial portfolio optimization | en_US |
dc.type | Article | en_US |
dc.identifier.doi | http://dx.doi.org/10.1016/j.ejor.2014.07.049 | - |
dc.relation.isPartOf | European Journal of Operational Research | - |
dc.relation.isPartOf | European Journal of Operational Research | - |
pubs.issue | 3 | - |
pubs.issue | 3 | - |
pubs.publication-status | Published | - |
pubs.publication-status | Published | - |
pubs.volume | 240 | - |
pubs.volume | 240 | - |
pubs.organisational-data | /Brunel | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences/Dept of Mathematics | - |
pubs.organisational-data | /Brunel/Brunel Staff by College/Department/Division/College of Engineering, Design and Physical Sciences/Dept of Mathematics/Mathematical Sciences | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/Brunel Business School - URCs and Groups/Centre for Research into Entrepreneurship, International Business and Innovation in Emerging Markets | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute for Ageing Studies | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Brunel Institute of Cancer Genetics and Pharmacogenomics | - |
pubs.organisational-data | /Brunel/University Research Centres and Groups/School of Health Sciences and Social Care - URCs and Groups/Centre for Systems and Synthetic Biology | - |
Appears in Collections: | Dept of Mathematics Research Papers |
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