3 papers
q-fin.PM2026
Multi periods mean-DCVaR optimization: a Recursive Neural Network resolution
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Condi…
math.OC2025
A Martingale approach to continuous Portfolio Optimization under CVaR like constraints
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVa…
q-fin.PM2025
Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot
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…