Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics

DOI10.1287/opre.1120.1072zbMath1260.91121OpenAlexW1628915767MaRDI QIDQ3144391

So Yeon Chun, Alexander Shapiro, Stan Uryasev

Publication date: 7 December 2012

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

Full work available at URL: https://semanticscholar.org/paper/cd2c85c8dc12786e77e47089c0875f133f989a9b

zbMATH Keywords

M-estimators quantile regression statistical inference value-at-risk linear regression average value-at-risk conditional risk measures law-invariant risk measures least-squares residuals

Mathematics Subject Classification ID

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