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A scenario generation algorithm for multistage stochastic programming : application for asset allocation models with derivatives

Laurent, Alessandro ; Barone Adesi, Giovanni (Dir.) ; Audrino, Francesco (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2006 ; 2006ECO001.

Modern financial portfolio management problems as well as asset/liability problems use stochastic optimization to allocate financial assets. To implement and solve such a stochastic optimization based portfolio allocation problem, we require scenario trees for the description of the future market evolutions of every random variable present in the model. This thesis proposes a general algorithm to...