Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
Portfolio Management
2025-05-19 v2 Risk Management
Abstract
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.
Keywords
Cite
@article{arxiv.2410.10239,
title = {Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context},
author = {Jérôme Lelong and Véronique Maume-Deschamps and William Thevenot},
journal= {arXiv preprint arXiv:2410.10239},
year = {2025}
}