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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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  • Gulpinar, Nalan & Rustem, Berc & Settergren, Reuben, 2004. "Simulation and optimization approaches to scenario tree generation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1291-1315, April.
    • Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1291-1315
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    References listed on IDEAS

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    1. 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.
    2. Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
    3. 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.
    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. 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.
    6. Jitka Dupačová & Giorgio Consigli & Stein Wallace, 2000. "Scenarios for Multistage Stochastic Programs," Annals of Operations Research, Springer, vol. 100(1), pages 25-53, December.
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