Concentration bounds for empirical conditional value-at-risk: the unbounded case

DOI10.1016/j.orl.2018.11.005zbMath1476.91220arXiv1808.01739OpenAlexW2886031349MaRDI QIDQ2294256

Sanjay P. Bhat, L. A. Prashanth, Ravi Kumar Kolla, Krishna Jagannathan

Publication date: 10 February 2020

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01739

zbMATH Keywords

value-at-riskconditional value-at-risksub-Gaussian distributionssub-exponential distributionsconcentration bounds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Sample average approximation of conditional value-at-risk based variational inequalities ⋮ Relative bound and asymptotic comparison of expectile with respect to expected shortfall

Cites Work

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• Deviation inequalities for an estimator of the conditional value-at-risk
• Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
• Large deviations bounds for estimating conditional value-at-risk
• Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
• Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems
• Some aspects of the sequential design of experiments

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