A copula-based heuristic for scenario generation

Michal Kaut ()

Computational Management Science, 2014, vol. 11, issue 4, 503-516

Abstract: This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Stochastic programming; Scenario generation; Copulas (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s10287-013-0184-4

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