A NOVEL METHOD FOR MULTISTAGE SCENARIO GENERATION BASED ON CLUSTER ANALYSIS

Xiaodong Ji (), Xiujuan Zhao () and Xiuli Chao ()
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Xiaodong Ji: College of Business, Hebei Normal University, Shijiazhuang, Hebei 050091, China
Xiujuan Zhao: School of Economics and Management, Beihang University, Beijing 100083, China
Xiuli Chao: Edward P. Fitts Department of Industrial Engineering, North Carolina State University, Raleigh NC 27695, USA

International Journal of Information Technology & Decision Making (IJITDM), 2006, vol. 05, issue 03, 513-530

Abstract: Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming portfolio model, a case is given to exhibit the virtues of this scenario generation approach.

Keywords: Dynamic portfolio selection; stochastic linear goal programming model; multistage scenario generation; cluster analysis; arbitrage (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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DOI: 10.1142/S0219622006002106

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