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Simulation and optimization approaches to scenario tree generation

  • 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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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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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. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    3. Kjetil Høyland & Stein W. Wallace, 2001. "Generating Scenario Trees for Multistage Decision Problems," Management Science, INFORMS, vol. 47(2), pages 295-307, February.
    4. 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.
    5. 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.
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