55 search results - page 1 / 11 » Scenario Generation Employing Copulas |
WCE
2007
13 years 5 months ago
2007
—Multistage stochastic programs are effective for solving long-term planning problems under uncertainty. Such programs are usually based on scenario generation model about future...
ANOR
2010
13 years 4 months ago
2010
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
ANOR
2007
13 years 4 months ago
2007
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
JORS
2010
12 years 11 months ago
2010
Monte Carlo simulation is a common method for studying the volatility of market traded instruments. It is less employed in retail lending, because of the inherent nonlinearities in...
CSMR
2006
IEEE
13 years 10 months ago
2006
IEEE
Understanding large software systems is simplified when a combination of techniques for static and dynamic analysis is employed. Effective dynamic analysis requires that executio...