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Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
1 : Université Grenoble Alpes
Univ. Grenoble Alpes, CNRS, Grenoble INP, LJK, 38000 Grenoble, France
2 : Institut Camille Jordan
Universite Claude Bernard Lyon 1, CNRS, Ecole Centrale de Lyon, INSA Lyon, Université Jean Monnet, ICJ UMR5208, 69622 Villeurbanne, France.
3 : Institut Camille Jordan
Universite Claude Bernard Lyon 1, CNRS, Ecole Centrale de Lyon, INSA Lyon, Université Jean Monnet, ICJ UMR5208, 69622 Villeurbanne, France., SCOR SE [Paris]
| Subject : | : | SAMO: oral presentation |
| Topics | : | SAMO: oral presentation |
| Keywords | : | Value ; At ; Risk ; Conditional Value ; At ; Risk ; Expected shortfall ; Sample average approximation ; Portfolio optimization ; Insurance ; Reinsurance ; Uniform strong large law of numbers ; Central limit theorem. |
| PDF version | : |  PDF version |
