Original paper
PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL
Abstract
In this paper, we provide an empirical discussion of the differences among some scenario tree-generation approaches for stochastic programming. We consider the classical Monte Carlo sampling and Moment matching methods. Moreover, we test the Resampled average approximation, which is an adaptation of Monte Carlo sampling and Monte Carlo with naive allocation strategy as the benchmark. We test the empirical effects of each approach on the...
Paper Details
Title
PERFORMANCE COMPARISON OF SCENARIO-GENERATION METHODS APPLIED TO A STOCHASTIC OPTIMIZATION ASSET-LIABILITY MANAGEMENT MODEL
Published Date
Apr 1, 2018
Journal
Volume
38
Issue
1
Pages
53 - 72
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Notes
History