Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
“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.”