Evolutionary multi-stage financial scenario tree generation

Details Evolutionary multi-stage financial scenario tree generation Evolutionary multi-stage financial scenario tree generation

2009-12-08

arxiv.org/abs/0912.1534v2

Lecture Notes in Computer Science 6025:182-191. 2010.

Computer Science

Neural and Evolutionary Computing

Scientific paper

10.1007/978-3-642-12242-2_19

Multi-stage financial decision optimization under uncertainty depends on a careful numerical approximation of the underlying stochastic process, which describes the future returns of the selected assets or asset categories. Various approaches towards an optimal generation of discrete-time, discrete-state approximations (represented as scenario trees) have been suggested in the literature. In this paper, a new evolutionary algorithm to create scenario trees for multi-stage financial optimization models will be presented. Numerical results and implementation details conclude the paper.

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