Asymptotic behavior of the empirical conditional value-at-risk

We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry-Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.

► We study asymptotic behavior of the empirical conditional value-at-risk. ► The Berry-Essen bound and the law of iterated logarithm are obtained. ► The moderate deviation principle and the large deviation principle are established. ► We also give some numerical examples.