On the effectiveness of scenario generation techniques in single-period portfolio optimization

@article{Guastaroba2009OnTE,
  title={On the effectiveness of scenario generation techniques in single-period portfolio optimization},
  author={Gianfranco Guastaroba and Renata Mansini and Maria Grazia Speranza},
  journal={European Journal of Operational Research},
  year={2009},
  volume={192},
  pages={500-511}
}
In single-period portfolio selection problems the expected value of both the risk measure and the portfolio return have to be estimated. Historical data realizations, used as equally probable scenarios, are frequently used to this aim. Several other parametric and non-parametric methods can be applied. When dealing with scenario generation techniques practitioners are mainly concerned on how reliable and effective such methods are when embedded into portfolio selection models. In this paper we… CONTINUE READING
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