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28

ORL
2007

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Large deviations bounds for estimating conditional value-at-risk

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Large deviations bounds for estimating conditional value-at-risk

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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. © 2007 Elsevier B.V. All rights reserved.

David B. Brown

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Exponential Rate | Optimistic Deviations | ORL 2007 | Pessimistic Deviations |

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Added	27 Dec 2010
Updated	27 Dec 2010
Type	Journal
Year	2007
Where	ORL
Authors	David B. Brown

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