A RATE RESULT FOR SIMULATION OPTIMIZATION WITH CONDITIONAL VALUE-AT-RISK CONSTRAINTS

被引：0
|
作者：
Ghosh, Soumyadip [1 ]
机构：
[1] Business Analyt & Math Sci Div, Yorktown Hts, NY 10598 USA
来源：
2008 WINTER SIMULATION CONFERENCE, VOLS 1-5 | 2008年
关键词：
D O I：
10.1109/WSC.2008.4736121
中图分类号：
TP31 [计算机软件];
学科分类号：
081202 ; 0835 ;
摘要：
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(-1/2)), where n represents the sample size. The constants in the expression are explicitly defined.
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页码：615 / 620
页数：6
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