The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under α-mixing sequences (Q5367295): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 00:30, 9 February 2024
scientific article; zbMATH DE number 6790741
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under α-mixing sequences |
scientific article; zbMATH DE number 6790741 |
Statements
The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under α-mixing sequences (English)
0 references
12 October 2017
0 references
\(\alpha\)-mixing
0 references
convergence rate
0 references
CVaR
0 references
OCE
0 references
strong laws of large number
0 references
estimator
0 references
risk measure
0 references
conditional value-at-risk
0 references
optimized certainty equivalent
0 references
