Sample Average Approximation of Expected Value Constrained Stochastic Programs

  • Shabbir Ahmed
  • W. Wang
    • Categories Finance and Economics, Stochastic Programming Short URL: https://optimization-online.org/?p=10281

    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.

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