Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142676 | Operations Research Letters | 2008 | 5 Pages |
Abstract
We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Wei Wang, Shabbir Ahmed,