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

✍ Scribed by Ying Wang; Fuqing Gao

Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
251 KB
Volume
38
Category
Article
ISSN
0167-6377

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✦ Synopsis

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 Research Letters 35 (2007) 722-730].

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