Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context

Fuente: arXiv

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Bibliographic Details
Main Authors:	Lelong, Jérôme, Maume-Deschamps, Véronique, Thevenot, William
Format:	Preprint
Published:	2024
Subjects:	Portfolio Management Risk Management
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2410.10239