Evolutionary multi-stage financial scenario tree generation
Neural and Evolutionary Computing
2010-04-27 v2 Computational Finance
Portfolio Management
Abstract
Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper.
Keywords
Cite
@article{arxiv.0912.1534,
title = {Evolutionary multi-stage financial scenario tree generation},
author = {Ronald Hochreiter},
journal= {arXiv preprint arXiv:0912.1534},
year = {2010}
}