Conference Paper

A rate result for simulation optimization with conditional value-at-risk constraints.

DOI: 10.1109/WSC.2008.4736121 Conference: Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, WSC 2008, InterContinental Hotel, Miami, Florida, USA, December 7-10, 2008
Source: DBLP


ABSTRACT We study a stochastic optimization problem,that has its roots in financial portfolio design. The problem,has a specified deterministic objective function and constraints on the conditional value-at-risk of the portfolio. Approximate optimal solutions to this problem,are usually obtained by solving a sample-average approximation. We derive bounds on the gap in the objective value between,the true optimal and an approximate,solution so obtained. We show,that under certain regularity conditions the approximate optimal value converges to the true optimal at the canonical rate O(n ,=2), where n represents the sample size. The constants in the expression are explicitly defined. 1,INTRODUCTION Financial markets have seen an explosive growth,in the

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Available from: Soumyadip Ghosh, Dec 03, 2014