@MISC\{IMM2012-06232,
    author       = "E. A. {\O}stergaard",
    title        = "Scenario generation for financial market indices",
    year         = "2012",
    publisher    = "Technical University of Denmark, {DTU} Informatics, {E-}mail: reception@imm.dtu.dk",
    address      = "Asmussens Alle, Building 305, {DK-}2800 Kgs. Lyngby, Denmark",
    note         = "Supervisors Associate professor Lasse Engbo Christiansen, lec@imm.dtu.dk (Department of Informatics and Mathematical Modelling, {DTU}) and Associate professor Kourosh Marjani Rasmussen, (Department of Management Engineering, Operations Research, {DTU}).",
    url          = "http://www.imm.dtu.dk/English.aspx",
    abstract     = "The aim of this thesis is to generate scenarios of financial indices that can be used in the asset allocation decision process such that risk-return trade-off is optimised in accordance with the investment strategy. The statistical behaviour of the indices is described and both the correlation and dynamic structure of the weekly log returns are modelled. These models are used to generate scenarios with a high degree of credibility. Bootstrapping is also used to generate scenarios. The result of modelling financial indices with {PCA} and {GARCH} and afterwards use this in generating scenario is an applicable method to get trustworthy scenarios that can be used in financial risk management and asset allocation. These methods give results with a higher degree of reliability if the scenario horizon is long-term compared to the bootstrapping that performs acceptable within a short time frame."
}