A copula-based heuristic for scenario generation
Journal article, Peer reviewed
Accepted version
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http://hdl.handle.net/11250/2647007Utgivelsesdato
2013Metadata
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Sammendrag
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.