Article ID: | iaor20102878 |
Volume: | 36 |
Issue: | 5 |
Start Page Number: | 515 |
End Page Number: | 519 |
Publication Date: | Sep 2008 |
Journal: | Operations Research Letters |
Authors: | Wang Wei, Ahmed Shabbir |
Keywords: | value at risk |
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.