Concentration bounds for empirical conditional value-at-risk: the unbounded case (Q2294256): Difference between revisions
From MaRDI portal
Changed an Item |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4907706 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Large deviations bounds for estimating conditional value-at-risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Some aspects of the sequential design of experiments / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Deviation inequalities for an estimator of the conditional value-at-risk / rank | |||
Normal rank | |||
Revision as of 17:24, 21 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Concentration bounds for empirical conditional value-at-risk: the unbounded case |
scientific article |
Statements
Concentration bounds for empirical conditional value-at-risk: the unbounded case (English)
0 references
10 February 2020
0 references
value-at-risk
0 references
conditional value-at-risk
0 references
concentration bounds
0 references
sub-Gaussian distributions
0 references
sub-exponential distributions
0 references
0 references
0 references
