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

Autor:	Lelong, Jérôme, Maume-Deschamps, Véronique, Thevenot, William
Rok vydání:	2024
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Risk Management
Druh dokumentu:	Working Paper
Popis:	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.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2410.10239 Zobrazit plný text záznamu View this record from Arxiv