Sample average approximation of expected value constrained stochastic programs
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Publication:957332
DOI10.1016/j.orl.2008.05.003zbMath1210.90131OpenAlexW2116731530WikidataQ105583702 ScholiaQ105583702MaRDI QIDQ957332
Publication date: 27 November 2008
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2008.05.003
portfolio optimizationconditional value-at-risksample average approximationexpected value constrained stochastic program
Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)
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Cites Work
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- Handling CVaR objectives and constraints in two-stage stochastic models
- Sample average approximation of expected value constrained stochastic programs
- Duality in stochastic linear and dynamic programming
- Call center staffing with simulation and cutting plane methods
- Statistical approximations for recourse constrained stochastic programs
- The Sample Average Approximation Method for Stochastic Discrete Optimization
- An introduction to the theory of large deviations
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