Comment on “An algorithm for moment-matching scenario generation with application to financial portfolio optimization"
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Abstract
A paper by Ponomareva, Roman, and Date proposed a new algorithm to generate scenarios and their probability weights matching exactly the given mean, the covariance matrix, the average of the marginal ...
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Citation
Contreras, Juan Pablo; Bosch, Paul; Herrera, Mauricio. Comment on “An algorithm for moment-matching scenario generation with application to financial portfolio optimization". European Journal of Operational Research, Volume 269, Issue 3, 16 September 2018, Pages 1180-1184
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