A copula-based heuristic for scenario generation

Michal Kaut(michal.kautsintef.no)

Abstract: This paper presents a heuristic for generating scenarios using copulas to describe the dependence between the marginal distributions (rather than the more common correlations). The new method is then evaluated using a simple portfolio-selection model, and compared to two other methods.

Keywords: stochastic programming, scenario generation, copulas

Category 1: Stochastic Programming

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Entry Submitted: 09/16/2011
Entry Accepted: 09/16/2011
Entry Last Modified: 09/16/2011

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