Article ID: | iaor20083721 |
Country: | Netherlands |
Volume: | 35 |
Issue: | 6 |
Start Page Number: | 722 |
End Page Number: | 730 |
Publication Date: | Nov 2007 |
Journal: | Operations Research Letters |
Authors: | Brown David B. |
Keywords: | Value at risk |
In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk measures.