Computational study of a chance constrained portfolio selection problem

@inproceedings{Pagnoncelli2008ComputationalSO,
  title={Computational study of a chance constrained portfolio selection problem},
  author={Bernardo K. Pagnoncelli and Shabbir Ahmed and Alexander Shapiro},
  year={2008}
}
We study approximations of chance constrained problems. In particular, we consider the Sample Average Approximation (SAA) approach and discuss convergence properties of the resulting problem. A method for constructing bounds for the optimal value of the considered problem is discussed and we suggest how one should tune the underlying parameters to obtain a good approximation of the true problem. We apply these methods to a linear portfolio selection problem with returns following a multivariate… CONTINUE READING
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