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Bias of a Value-at-Risk estimator

โœ Scribed by Yong Bao; Aman Ullah


Book ID
116494710
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
124 KB
Volume
1
Category
Article
ISSN
1544-6123

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Deviation inequalities for an estimator
โœ Ying Wang; Fuqing Gao ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 251 KB

In this paper, we present a deviation inequality for a common estimator of the conditional value-at-risk for bounded random variables. The result improves a deviation inequality which is obtained by Brown [D.B. Brown, Large deviations bounds for estimating conditional value-at-risk, Operations Resea