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Simulation and optimization approaches to scenario tree generation

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  • Gulpinar, Nalan
  • Rustem, Berc
  • Settergren, Reuben
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    File URL: http://www.sciencedirect.com/science/article/B6V85-491J1MB-1/2/4024b6c172d968b460a070b21f059f60
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 28 (2004)
    Issue (Month): 7 (April)
    Pages: 1291-1315

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    Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1291-1315

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    Web page: http://www.elsevier.com/locate/jedc

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," Serie Research Memoranda 0011, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Klaassen, Pieter, 1997. "Discretized reality and spurious profits in stochastic programming models for asset/liability management," European Journal of Operational Research, Elsevier, vol. 101(2), pages 374-392, September.
    3. Kouwenberg, Roy, 2001. "Scenario generation and stochastic programming models for asset liability management," European Journal of Operational Research, Elsevier, vol. 134(2), pages 279-292, October.
    4. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    5. Kjetil H√łyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
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    Cited by:
    1. Azzato, Jeffrey & Krawczyk, Jacek & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
    2. Mukherjee, Avijit & Hansen, Mark, 2009. "A dynamic rerouting model for air traffic flow management," Transportation Research Part B: Methodological, Elsevier, vol. 43(1), pages 159-171, January.
    3. Liu, Pei-chen Barry & Hansen, Mark & Mukherjee, Avijit, 2008. "Scenario-based air traffic flow management: From theory to practice," Transportation Research Part B: Methodological, Elsevier, vol. 42(7-8), pages 685-702, August.
    4. Shen, Ruijun & Zhang, Shuzhong, 2008. "Robust portfolio selection based on a multi-stage scenario tree," European Journal of Operational Research, Elsevier, vol. 191(3), pages 864-887, December.

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