"An algorithm for moment-matching scenario generation with application to ..."

Ksenia Ponomareva, Diana Roman, Paresh Date (2015)

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DOI: 10.1016/J.EJOR.2014.07.049

access: closed

type: Journal Article

metadata version: 2020-02-21

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Ksenia Ponomareva, Diana Roman, Paresh Date:
An algorithm for moment-matching scenario generation with application to financial portfolio optimisation. Eur. J. Oper. Res. 240(3): 678-687 (2015)

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