| dc.contributor.author | Kaut, Michal | |
| dc.date.accessioned | 2020-03-16T13:20:25Z | |
| dc.date.available | 2020-03-16T13:20:25Z | |
| dc.date.created | 2013-09-06T12:27:39Z | |
| dc.date.issued | 2013 | |
| dc.identifier.citation | Computational Management Science. 2013, 11 (4), 503-516. | nb_NO |
| dc.identifier.issn | 1619-697X | |
| dc.identifier.uri | http://hdl.handle.net/11250/2647007 | |
| dc.description.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. | nb_NO |
| dc.language.iso | eng | nb_NO |
| dc.publisher | Springer | nb_NO |
| dc.title | A copula-based heuristic for scenario generation | nb_NO |
| dc.type | Journal article | nb_NO |
| dc.type | Peer reviewed | nb_NO |
| dc.description.version | acceptedVersion | nb_NO |
| dc.source.pagenumber | 503-516 | nb_NO |
| dc.source.volume | 11 | nb_NO |
| dc.source.journal | Computational Management Science | nb_NO |
| dc.source.issue | 4 | nb_NO |
| dc.identifier.doi | 10.1007/s10287-013-0184-4 | |
| dc.identifier.cristin | 1047483 | |
| dc.description.localcode | This is a post-peer-review, pre-copyedit version of an article. Locked until 24.08.2014 due to copyright restrictions. The final authenticated version is available online at: DOI: 10.1007/s10287-013-0184-4 | nb_NO |
| cristin.unitcode | 194,60,25,0 | |
| cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
| cristin.ispublished | true | |
| cristin.fulltext | postprint | |
| cristin.qualitycode | 1 | |
