Deviation inequalities for an estimator of the conditional value-at-risk
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Publication:975002
DOI10.1016/J.ORL.2009.11.008zbMATH Open1189.91085OpenAlexW2062072417MaRDI QIDQ975002FDOQ975002
Publication date: 8 June 2010
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2009.11.008
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Cites Work
- Coherent measures of risk
- Probability Inequalities for Sums of Bounded Random Variables
- Stochastic finance. An introduction in discrete time
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Large deviations bounds for estimating conditional value-at-risk
Cited In (6)
- Convex bodies generated by sublinear expectations of random vectors
- Concentration bounds for empirical conditional value-at-risk: the unbounded case
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Variance aversion implies \(\mu-\sigma^ 2\)-criterion
- Sample average approximation of conditional value-at-risk based variational inequalities
- Temporal Robustness of Stochastic Signals
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