how to generate scenario tree from asset projection

[haizu...@gmail.com]

Hi everyone, 

I'm new in this software and I learnt from the internet on how to use AMPL for the pension system. I have generated scenario for asset returns. however, I don not know how to generate scenario tree from the data. 

regards,

Haizul

[Robert Fourer]

There are some suggestions for modeling scenario trees in this paper: H.I. Gassmann and A.M. Ireland, Scenario formulation in an algebraic modelling language. Annals of Operations Research 59 (1995) 45-75. You can use this link to download a copy:

http://download.springer.com/static/pdf/148/art%253A10.1007%252FBF02031743.pdf?originUrl=http%3A%2F%2Flink.springer.com%2Farticle%2F10.1007%2FBF02031743&token2=exp=1469842800~acl=%2Fstatic%2Fpdf%2F148%2Fart%25253A10.1007%25252FBF02031743.pdf%3ForiginUrl%3Dhttp%253A%252F%252Flink.springer.com%252Farticle%252F10.1007%252FBF02031743*~hmac=f2acf4ea37f9d8ddee621c320d593cb7e86e74f27045b66ac90c27f7228ef514

Bob Fourer
am...@googlegroups.com

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[haizu...@gmail.com]

Hi Bob, 

Tnak you for the link attached. really helpful.