Large deviations bounds for estimating conditional value-at-risk

DOI10.1016/J.ORL.2007.01.001MaRDI QIDQ2467442zbMATH OpenOpenAlexFDO

Authors David B. Brown

Publication date 21 January 2008

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

Full work available at URL https://doi.org/10.1016/j.orl.2007.01.001

zbMATH Keywords

estimationlarge deviationsconvex risk measureconditional value-at-riskoptimized certainty equivalent

Mathematics Subject Classification ID

Large deviations (60F10)

Recommendations

• Deviation inequalities for an estimator of the conditional value-at-risk
• Concentration bounds for empirical conditional value-at-risk: the unbounded case
• Asymptotic behavior of the empirical conditional value-at-risk
• About the conditional value at risk of partial sums
• Moderate deviation principles of the Bayesian estimators of value at risk and conditional value at risk under exponential-gamma models

Cites work

• scientific article; zbMATH DE number 2046106 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 3365044 (Why is no real title available?)
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
• Portfolio theory for the recourse certainty equivalent maximizing investor
• Probability Inequalities for Sums of Bounded Random Variables
• Theory of games and economic behavior.

Cited in

(21)

• Convex bodies generated by sublinear expectations of random vectors
• Deviation inequalities for an estimator of the conditional value-at-risk
• Concentration bounds for empirical conditional value-at-risk: the unbounded case
• Risk-Sensitive Reinforcement Learning via Policy Gradient Search
• Reduction of Value-at-Risk bounds via independence and variance information
• Sample-based bounds for coherent risk measures: applications to policy synthesis and verification
• Risk-adaptive approaches to stochastic optimization: a survey
• Varying confidence levels for CVaR risk measures and minimax limits
• Moderate deviations for estimators of financial risk under an asymmetric Laplace law
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• A revised approach for risk-averse multi-armed bandits under CVaR criterion
• About the conditional value at risk of partial sums
• scientific article; zbMATH DE number 5363850 (Why is no real title available?)
• The almost sure convergence rate of the estimator of optimized certainty equivalent risk measure under -mixing sequences
• Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
• Moderate deviation principles of the Bayesian estimators of value at risk and conditional value at risk under exponential-gamma models
• Asymptotic behavior of the empirical conditional value-at-risk
• Bounds for the bias of the empirical CTE
• Central limit theorem and almost sure results for the empirical estimator of superquantiles/CVaR in the stationary case
• Nonparametric kernel estimation of expected shortfall under negatively associated sequences
• Nonasymptotic Convergence Rates for the Plug-in Estimation of Risk Measures

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