Large deviations bounds for estimating conditional value-at-risk
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Publication:2467442
DOI10.1016/J.ORL.2007.01.001zbMATH Open1189.91069OpenAlexW2124515734MaRDI QIDQ2467442FDOQ2467442
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
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
estimationlarge deviationsconvex risk measureconditional value-at-riskoptimized certainty equivalent
Cites Work
- Coherent measures of risk
- Probability Inequalities for Sums of Bounded Random Variables
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- Theory of games and economic behavior.
- Convex measures of risk and trading constraints
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Penalty Functions and Duality in Stochastic Programming Via ϕ-Divergence Functionals
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- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Portfolio theory for the recourse certainty equivalent maximizing investor
Cited In (14)
- 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
- Moderate Deviations for Estimators of Financial Risk Under an Asymmetric Laplace Law
- Varying confidence levels for CVaR risk measures and minimax limits
- 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
- Title not available (Why is that?)
- Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences
- Asymptotic behavior of the empirical conditional value-at-risk
- Bounds for the bias of the empirical CTE
- Nonparametric kernel estimation of expected shortfall under negatively associated sequences
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