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Sample average approximation of expected value constrained stochastic programs. (English) Zbl 1210.90131

Summary: 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.

MSC:

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