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Large deviations bounds for estimating conditional value-at-risk

✍ Scribed by David B. Brown

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
183 KB
Volume
35
Category
Article
ISSN
0167-6377

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✦ Synopsis

In this paper, we prove an exponential rate of convergence result for a common estimator of conditional value-at-risk for bounded random variables. The bound on optimistic deviations is tighter while the bound on pessimistic deviations is more general and applies to a broader class of convex risk measures.

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