35 citations · 62 across the 5 of their papers we have counts for
Showing 2015Show all
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q-fin.RM2015★ 15 cited
Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables
Jamie Fairbrother, Amanda Turner, Stein Wallace
In this paper we propose a problem-driven scenario generation approach to the single-period portfolio selection problem which use tail risk measures such as conditional value-at-ri…
math.OC2015★ 35 cited
Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
Jamie Fairbrother, Amanda Turner, Stein Wallace
Scenario generation is the construction of a discrete random vector to represent parameters of uncertain values in a stochastic program. Most approaches to scenario generation are…