This paper presents a new heuristic for generating scenarios for two-stage stochastic programs. The method uses copulas to describe the dependence between the marginal distributions, instead of the more common correlations. The heuristic is then tested on a simple portfolio-selection model, and compared to two other scenario-generation methods.
Published in Computational Management Science, 11 (4), pp. 503-516, 2014. DOI:10.1007/s10287-013-0184-4