Michal Kaut

SINTEF - Trondheim / Norway

Others

AD Scientific Index ID: 4427481

Stiftelsen for industriell og teknisk forskning

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Michal Kaut's MOST POPULAR ARTICLES

1-) Evaluation of scenario-generation methods for stochastic programming Pacific Journal of Optimization 3 (2), 257-271, 2007

2-) A heuristic for moment-matching scenario generation Computational Optimization and Applications 24 (2-3), 169–185, 2003

3-) Multi-horizon stochastic programming Computational Management Science 11 (1), 179-193, 2014

4-) Stability analysis of portfolio management with conditional value-at-risk Quantitative Finance 7 (4), 397-409, 2007

5-) Shape-based scenario generation using copulas Computational Management Science 8 (1), 181-199, 2011

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