Journal
COMPUTATIONAL MANAGEMENT SCIENCE
Volume 11, Issue 4, Pages 503-516Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s10287-013-0184-4
Keywords
Stochastic programming; Scenario generation; Copulas
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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-selectionmodel, and compared to two other scenario-generation methods.
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