Article ID Journal Published Year Pages File Type
1142676 Operations Research Letters 2008 5 Pages PDF
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
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