The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under \(\alpha\)-mixing sequences (Q5367295)
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scientific article; zbMATH DE number 6790741
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| English | The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under \(\alpha\)-mixing sequences |
scientific article; zbMATH DE number 6790741 |
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The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under α-mixing sequences (English)
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12 October 2017
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\(\alpha\)-mixing
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convergence rate
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CVaR
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OCE
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strong laws of large number
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estimator
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risk measure
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conditional value-at-risk
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optimized certainty equivalent
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0.8319659233093262
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0.7798234820365906
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0.7550297379493713
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0.748712420463562
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