Article ID Journal Published Year Pages File Type
1143146 Operations Research Letters 2007 9 Pages PDF
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
Preview
Large deviations bounds for estimating conditional value-at-risk
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