Deviation inequalities for an estimator of the conditional value-at-risk

DOI10.1016/J.ORL.2009.11.008MaRDI QIDQ975002zbMATH OpenOpenAlexFDO

Authors Ying Wang, Fuqing Gao

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

zbMATH Keywords

conditional value-at-riskestimatordeviation inequality

Mathematics Subject Classification ID

Large deviations (60F10)

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Cites work

• 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
• Coherent measures of risk
• Large deviations bounds for estimating conditional value-at-risk
• Probability Inequalities for Sums of Bounded Random Variables
• Stochastic finance. An introduction in discrete time

Cited in

(7)

• 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
• Large deviations bounds for estimating conditional value-at-risk
• Sample average approximation of conditional value-at-risk based variational inequalities
• Temporal Robustness of Stochastic Signals

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