Large deviations bounds for estimating conditional value-at-risk (Q2467442)
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scientific article; zbMATH DE number 5228879
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| default for all languages | No label defined |
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| English | Large deviations bounds for estimating conditional value-at-risk |
scientific article; zbMATH DE number 5228879 |
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Large deviations bounds for estimating conditional value-at-risk (English)
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21 January 2008
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conditional value-at-risk
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convex risk measure
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optimized certainty equivalent
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large deviations
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estimation
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0.8702904582023621
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0.8566616773605347
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0.8090808391571045
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0.7888439297676086
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