Large deviations bounds for estimating conditional 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. © 2007 Elsevier B.V. All rights reserved.

• Type: Journal
• Year: 2007
• Where: ORL
• Authors: David B. Brown
• Keywords: Exponential Rate, Optimistic Deviations, ORL 2007, Pessimistic Deviations