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40

ORL
2008

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Sample average approximation of expected value constrained stochastic programs

13 years 11 months ago

Sample average approximation of expected value constrained stochastic programs

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We propose a sample average approximation (SAA) method for stochastic programming problems involving an expected value constraint. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). Our contributions include an analysis of the convergence rate and a statistical validation scheme for the proposed SAA method. Computational results using a portfolio selection problem with a CVaR constraint are presented. Key words: Sample average approximation; Expected value constrained stochastic program; Conditional value-at-risk; Convergence rate; Validation scheme; Portfolio optimization

Wei Wang, Shabbir Ahmed

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Expected Value | ORL 2008 | Portfolio Selection | Sample Average Approximation |

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Added	14 Dec 2010
Updated	14 Dec 2010
Type	Journal
Year	2008
Where	ORL
Authors	Wei Wang, Shabbir Ahmed

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