Deviation inequalities for an estimator of the conditional value-at-risk
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Publication:975002
DOI10.1016/j.orl.2009.11.008zbMath1189.91085OpenAlexW2062072417MaRDI QIDQ975002
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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Related Items (5)
Convex bodies generated by sublinear expectations of random vectors ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Temporal Robustness of Stochastic Signals ⋮ Sample average approximation of conditional value-at-risk based variational inequalities ⋮ Concentration bounds for empirical conditional value-at-risk: the unbounded case
Cites Work
- Large deviations bounds for estimating conditional value-at-risk
- Coherent Measures of Risk
- Probability Inequalities for Sums of Bounded Random Variables
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
- Stochastic finance. An introduction in discrete time
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