Evolutionary multi-stage financial scenario tree generation

Ronald Hochreiter (ronald.hochreiter@wu.ac.at)

Papers from arXiv.org

Abstract: Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper.

Date: 2009-12, Revised 2010-01
New Economics Papers: this item is included in nep-cmp
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Published in Lecture Notes in Computer Science 6025:182-191. 2010.

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.1534

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