Article ID Journal Published Year Pages File Type
1143031 Operations Research Letters 2010 4 Pages PDF
Abstract
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].
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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Deviation inequalities for an estimator of the conditional value-at-risk
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