Sample average approximation method for chance constrained programming: Theory and applications

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Publication:1035926

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DOI10.1007/s10957-009-9523-6zbMath1175.90306OpenAlexW2164499670MaRDI QIDQ1035926

Shabbir Ahmed, Bernardo K. Pagnoncelli, Alexander Shapiro

Publication date: 4 November 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9523-6

zbMATH Keywords

portfolio selection chance constraints sample average approximation

Mathematics Subject Classification ID

Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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