Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2024
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866909611524620288 |
|---|---|
| author | Lelong, Jérôme Maume-Deschamps, Véronique Thevenot, William |
| author_facet | Lelong, Jérôme Maume-Deschamps, Véronique Thevenot, William |
| contents | We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results give (re)insurers a practical solution to portfolio optimization under market regulatory constraints, i.e. a certain level of risk. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2410_10239 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context Lelong, Jérôme Maume-Deschamps, Véronique Thevenot, William Portfolio Management Risk Management We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint. We prove, under very mild assumptions, the convergence of the Sample Average Approximation method (SAA) applied to this problem, and we also exhibit a convergence rate and discuss the uniqueness of the solution. These results give (re)insurers a practical solution to portfolio optimization under market regulatory constraints, i.e. a certain level of risk. |
| title | Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context |
| topic | Portfolio Management Risk Management |
| url | https://arxiv.org/abs/2410.10239 |