Computational study of a chance constrained portfolio selection problem

  title={Computational study of a chance constrained portfolio selection problem},
  author={Bernardo K. Pagnoncelli and Shabbir Ahmed and Alexander Shapiro},
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
16 Citations
31 References
Similar Papers


Publications citing this paper.
Showing 1-10 of 16 extracted citations


Publications referenced by this paper.
Showing 1-10 of 31 references

Portfolio selection

  • H. Markowitz
  • Journal of Finance, 7:77–97
  • 1952
Highly Influential
3 Excerpts

The exact feasibility of randomized solutions of robust convex programs

  • M. C. Campi, S. Garatti
  • Optimization online (
  • 2007
Highly Influential
3 Excerpts

Outage probabilities in the presence of correlated lognormal interferers

  • A. A. Abu-Dayya, N. C. Beaulieu
  • IEEE Transactions on Vehicular Technology, 43(1…
  • 1994
Highly Influential
4 Excerpts

Cooper W

  • A. Charnes
  • W., and G.H. Symmonds. Cost horizons and…
  • 1958
Highly Influential
2 Excerpts

Similar Papers

Loading similar papers…