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What is Portfolio Optimization Techniques Explained about?

This document discusses scenario generation for portfolio optimization under uncertainty. It begins by describing how scenarios fully describing a trading universe can be used with numerical methods to obtain an optimal replication portfolio. It then focuses on scenario generation, noting it is the most important support for the optimization framework. Scenario generation involves building a tree to represent the stochastic evolution of factors like interest rates and market prices. The tree allows pricing

Author

jangjongh

Language

EN