English, Article edition: A NOVEL METHOD FOR MULTISTAGE SCENARIO GENERATION BASED ON CLUSTER ANALYSIS XIAODONG JI; XIUJUAN ZHAO; XIULI CHAO

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Bookmark: http://trove.nla.gov.au/version/36542
Physical Description
  • article
Language
  • English

Edition details

Title
  • A NOVEL METHOD FOR MULTISTAGE SCENARIO GENERATION BASED ON CLUSTER ANALYSIS
Author
  • XIAODONG JI
  • XIUJUAN ZHAO
  • XIULI CHAO
Physical Description
  • article
Notes
  • 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.
  • Dynamic portfolio selection, stochastic linear goal programming model, multistage scenario generation, cluster analysis, arbitrage
  • RePEc:wsi:ijitdm:v:05:y:2006:i:03:p:513-530
Language
  • English
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