{"id":"https://openalex.org/W7222962645","doi":"https://doi.org/10.48550/arxiv.2610.23786","title":"Feasible closed form moment matching for scenario generation through covariance rotations","display_name":"Feasible closed form moment matching for scenario generation through covariance rotations","publication_year":2026,"publication_date":"2026-10-16","ids":{"openalex":"https://openalex.org/W7222962645","doi":"https://doi.org/10.48550/arxiv.2610.23786"},"language":"en","primary_location":{"id":"pmh:oai:arXiv.org:2610.23786","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.23786","pdf_url":"https://arxiv.org/pdf/2610.23786","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["arxiv","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/2610.23786","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5091466947","display_name":"Juan Pablo Contreras","orcid":"https://orcid.org/0000-0002-0651-8324","observed_orcids":["https://orcid.org/0000-0002-0651-8324"]},"institutions":[{"id":"https://openalex.org/I911713783","display_name":"Universidad Diego Portales","ror":"https://ror.org/03gtdcg60","country_code":"CL","type":"education","lineage":["https://openalex.org/I911713783"]}],"countries":["CL"],"is_corresponding":true,"raw_author_name":"Contreras, Juan Pablo","raw_affiliation_strings":["Escuela de Ingenier\u00eda Industrial , Universidad Diego Portales , Ej\u00e9rcito 441 , Santiago , Chile"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Escuela de Ingenier\u00eda Industrial , Universidad Diego Portales , Ej\u00e9rcito 441 , Santiago , Chile","institution_ids":["https://openalex.org/I911713783"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5091466947"],"corresponding_institution_ids":["https://openalex.org/I911713783"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9448000192642212,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9448000192642212,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.022199999541044235,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.012900000438094139,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/scenario-generation","display_name":"scenario generation","score":0.8420000076293945},{"id":"https://openalex.org/keywords/moment-matching","display_name":"moment matching","score":0.8989999890327454},{"id":"https://openalex.org/keywords/cholesky-decomposition","display_name":"Cholesky decomposition","score":0.7210000157356262},{"id":"https://openalex.org/keywords/non-negativity-constraints","display_name":"nonnegativity constraints","score":0.6029999852180481},{"id":"https://openalex.org/keywords/skewness","display_name":"skewness","score":0.593999981880188},{"id":"https://openalex.org/keywords/kurtosis","display_name":"kurtosis","score":0.9990000128746033},{"id":"https://openalex.org/keywords/high-dimensional-covariance","display_name":"high-dimensional covariance","score":0.4779999852180481},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.628000020980835}],"concepts":[{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.722000002861023},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7203999757766724},{"id":"https://openalex.org/C179254644","wikidata":"https://www.wikidata.org/wiki/Q13222844","display_name":"Moment (physics)","level":2,"score":0.5741999745368958},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.5042999982833862},{"id":"https://openalex.org/C2780069185","wikidata":"https://www.wikidata.org/wiki/Q7977945","display_name":"Equivalence (formal languages)","level":2,"score":0.48969998955726624},{"id":"https://openalex.org/C77553402","wikidata":"https://www.wikidata.org/wiki/Q13222579","display_name":"Upper and lower bounds","level":2,"score":0.4715000092983246},{"id":"https://openalex.org/C165064840","wikidata":"https://www.wikidata.org/wiki/Q1321061","display_name":"Matching (statistics)","level":2,"score":0.4643999934196472},{"id":"https://openalex.org/C34727166","wikidata":"https://www.wikidata.org/wiki/Q515375","display_name":"Cholesky decomposition","level":3,"score":0.4383000135421753},{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.385699987411499},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.376800000667572},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.353300005197525},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3418999910354614},{"id":"https://openalex.org/C199163554","wikidata":"https://www.wikidata.org/wiki/Q1681619","display_name":"Univariate","level":3,"score":0.33719998598098755},{"id":"https://openalex.org/C149728462","wikidata":"https://www.wikidata.org/wiki/Q751319","display_name":"Minimax","level":2,"score":0.3075000047683716},{"id":"https://openalex.org/C165216359","wikidata":"https://www.wikidata.org/wiki/Q670653","display_name":"Marginal distribution","level":3,"score":0.30149999260902405},{"id":"https://openalex.org/C74050887","wikidata":"https://www.wikidata.org/wiki/Q848368","display_name":"Rotation (mathematics)","level":2,"score":0.3012000024318695},{"id":"https://openalex.org/C126372606","wikidata":"https://www.wikidata.org/wiki/Q6503511","display_name":"Law of total covariance","level":5,"score":0.2777999937534332},{"id":"https://openalex.org/C166963901","wikidata":"https://www.wikidata.org/wiki/Q287251","display_name":"Kurtosis","level":2,"score":0.27459999918937683},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.25369998812675476},{"id":"https://openalex.org/C179861144","wikidata":"https://www.wikidata.org/wiki/Q2168094","display_name":"Varimax rotation","level":4,"score":0.25029999017715454}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:arXiv.org:2610.23786","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.23786","pdf_url":"https://arxiv.org/pdf/2610.23786","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"doi:10.48550/arxiv.2610.23786","doi":"https://doi.org/10.48550/arxiv.2610.23786","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2610.23786","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:2610.23786","doi":null,"is_oa":true,"landing_page_url":"https://arxiv.org/abs/2610.23786","pdf_url":"https://arxiv.org/pdf/2610.23786","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"study_designs":[],"awards":[{"id":"https://openalex.org/G6613932047","display_name":"TASAS DE CONVERGENCIA PARA ITERACIONES DE PUNTO FIJO ESTOCASTICAS EN ESPACIOS DE HILBERT Y BANACH.","funder_award_id":"3240505","funder_id":"https://openalex.org/F4320331146","funder_display_name":"Agencia Nacional de Investigaci\u00f3n y Desarrollo"}],"funders":[{"id":"https://openalex.org/F4320331146","display_name":"Agencia Nacional de Investigaci\u00f3n y Desarrollo","ror":"https://ror.org/05btm5233"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7222962645.pdf","grobid_xml":"https://content.openalex.org/works/W7222962645.grobid-xml"},"referenced_works_count":40,"referenced_works":["https://openalex.org/W270607477","https://openalex.org/W1553000336","https://openalex.org/W1606947449","https://openalex.org/W1970726342","https://openalex.org/W1989674551","https://openalex.org/W2014857980","https://openalex.org/W2020902939","https://openalex.org/W2034403582","https://openalex.org/W2065375802","https://openalex.org/W2068177394","https://openalex.org/W2072991174","https://openalex.org/W2074036729","https://openalex.org/W2079605428","https://openalex.org/W2080590058","https://openalex.org/W2092772586","https://openalex.org/W2114558202","https://openalex.org/W2120991802","https://openalex.org/W2123487311","https://openalex.org/W2123925763","https://openalex.org/W2137201267","https://openalex.org/W2303033673","https://openalex.org/W2401215742","https://openalex.org/W2579406944","https://openalex.org/W2616843069","https://openalex.org/W2742900359","https://openalex.org/W2753916640","https://openalex.org/W2789854202","https://openalex.org/W2895500395","https://openalex.org/W2909881945","https://openalex.org/W3124077537","https://openalex.org/W3195759963","https://openalex.org/W3198470808","https://openalex.org/W3207220151","https://openalex.org/W4226360597","https://openalex.org/W4287240663","https://openalex.org/W4290829870","https://openalex.org/W4394769606","https://openalex.org/W4399201475","https://openalex.org/W4400353585","https://openalex.org/W7165872078"],"related_works":["https://openalex.org/W7053524103","https://openalex.org/W2074036729","https://openalex.org/W2789854202","https://openalex.org/W4385690731","https://openalex.org/W2161924104","https://openalex.org/W2020902939","https://openalex.org/W1553000336","https://openalex.org/W2616843069","https://openalex.org/W270607477","https://openalex.org/W7096336077"],"abstract_inverted_index":{"Closed":[0],"form":[1],"moment":[2,141],"matching":[3,142],"constructs":[4],"small":[5],"scenario":[6],"sets":[7],"without":[8,149],"numerical":[9],"optimisation.":[10],"We":[11,134,237],"study":[12],"two":[13,192],"generators":[14,168],"that":[15,144],"match":[16],"the":[17,19,23,34,41,51,60,77,96,105,123,151,161,177,191,218,222],"mean,":[18],"covariance":[20,38,53],"matrix,":[21,54],"and":[22,26,87,158,174,226,229,246],"marginal":[24,248],"third":[25,225],"fourth":[27,112,227],"moments.":[28,153],"Both":[29],"place":[30],"their":[31],"scenarios":[32],"along":[33],"columns":[35],"of":[36,104,188,224],"a":[37,70,119,139,198,204,240],"factor,":[39],"usually":[40],"symmetric":[42,202],"or":[43],"Cholesky":[44],"root.":[45],"Although":[46],"every":[47,171],"valid":[48,164],"factor":[49,106,120,219],"reproduces":[50],"same":[52],"its":[55,83,110],"choice":[56],"can":[57,116],"determine":[58],"whether":[59],"resulting":[61],"weights":[62,185],"are":[63,100],"nonnegative.":[64],"By":[65],"viewing":[66],"each":[67],"column":[68],"as":[69],"univariate":[71],"mixture":[72],"component,":[73],"Pearson's":[74,208],"inequality":[75],"gives":[76],"minimum":[78],"probability":[79],"needed":[80],"to":[81,91,122,155],"reproduce":[82],"assigned":[84],"variance,":[85],"skewness,":[86],"kurtosis,":[88],"which":[89],"leads":[90],"exact":[92],"feasibility":[93],"conditions":[94],"whenever":[95],"relevant":[97],"entrywise":[98,111],"powers":[99],"nonsingular.":[101],"The":[102],"effect":[103],"is":[107],"governed":[108],"by":[109,118],"powers,":[113],"whose":[114,180],"sum":[115],"vary":[117],"equal":[121,247],"dimension.":[124,133],"This":[125],"explains":[126,195],"why":[127],"standard":[128,181],"roots":[129],"fail":[130],"in":[131,169,186,211],"high":[132],"combine":[135],"these":[136],"results":[137],"into":[138],"rotated":[140],"procedure":[143,162],"searches":[145],"for":[146,166,243],"feasible":[147,235],"factors":[148,182],"altering":[150],"target":[152],"Applied":[154],"stock":[156],"returns":[157],"synthetic":[159],"data,":[160],"produces":[163],"probabilities":[165],"both":[167],"nearly":[170],"instance":[172],"considered,":[173],"it":[175],"outperforms":[176],"original":[178],"constructions,":[179],"give":[183],"invalid":[184],"most":[187],"them.":[189],"Finally,":[190],"asset":[193],"case":[194],"when":[196],"such":[197],"rotation":[199,206],"exists.":[200],"With":[201],"marginals,":[203],"suitable":[205],"reaches":[207],"bound":[209],"except":[210],"one":[212],"degenerate":[213],"case,":[214],"whereas":[215],"with":[216],"skewness":[217],"must":[220],"balance":[221],"allocation":[223],"moments,":[228],"some":[230],"attainable":[231],"targets":[232],"admit":[233],"no":[234],"rotation.":[236],"also":[238],"establish":[239],"sufficient":[241],"condition":[242],"arbitrary":[244],"correlation":[245],"kurtosis.":[249]},"counts_by_year":[],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2026-10-20T00:00:00"}