Large deviations bounds for estimating conditional value-at-risk

Large deviations bounds for estimating conditional value-at-risk

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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:
Keywords: Value at risk
Abstract:

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.

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