A copula-based heuristic for scenario generation
Journal article, Peer reviewed
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Original versionComputational Management Science. 2013, 11 (4), 503-516. 10.1007/s10287-013-0184-4
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.