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• W2116731530 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." @default.
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• W2116731530 date "2008-09-01" @default.
• W2116731530 modified "2023-09-29" @default.
• W2116731530 title "Sample average approximation of expected value constrained stochastic programs" @default.
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• W2116731530 doi "https://doi.org/10.1016/j.orl.2008.05.003" @default.
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