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A copula-based heuristic for scenario generation

Michal Kaut (michal.kaut***at***sintef.no)

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.

Keywords: stochastic programming, scenario generation, copulas

Category 1: Stochastic Programming

Citation: Published in Computational Management Science, 11 (4), pp. 503-516, 2014. DOI:10.1007/s10287-013-0184-4

Download: [PDF]

Entry Submitted: 09/16/2011
Entry Accepted: 09/16/2011
Entry Last Modified: 03/10/2017

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