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Sample Average Approximation for Portfolio Optimization under CVaR con

Publication: Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context. Published Oct 14, 2024.

Backtesting & Strategies
arxiv.orgPublished Oct 14, 2024
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Overview

Publication: Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context. Published Oct 14, 2024.

Publication information

Publication title
Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
Authors
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
Published
Oct 14, 2024
Last publication revision
May 16, 2025
Subject areas
q-fin.PM, q-fin.RM
Publication source
arxiv.org · abs/2410.10239v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2410.10239 ↗

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