Scenario tree generation and multi-asset financial optimization problems.
Alois GeyerMichael HankeAlex WeissensteinerPublished in: Oper. Res. Lett. (2013)
Keyphrases
- optimization problems
- evolutionary algorithm
- tree structure
- cost function
- financial markets
- metaheuristic
- hierarchical structure
- combinatorial optimization
- decision making
- tree construction
- objective function
- optimization methods
- chance discovery
- real world
- tree structures
- problems involving
- spanning tree
- stock price
- simulated annealing
- bayesian networks
- information retrieval