Link
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.
Volume
35
Page
722-730
Number
6
Year
2007
Keywords
Conditional value-at-risk; Convex risk measure; Optimized certainty equivalent; Large deviations; estimation
Categories
New Risk Measures
Publications
Operations Research Letters