Large deviations bounds for estimating conditional value-at-risk
Publication
, Journal Article
Brown, DB
Published in: Operations Research Letters
November 1, 2007
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. © 2007 Elsevier B.V. All rights reserved.
Duke Scholars
Published In
Operations Research Letters
DOI
ISSN
0167-6377
Publication Date
November 1, 2007
Volume
35
Issue
6
Start / End Page
722 / 730
Related Subject Headings
- Operations Research
- 4901 Applied mathematics
- 1503 Business and Management
- 0103 Numerical and Computational Mathematics
- 0102 Applied Mathematics
Citation
APA
Chicago
ICMJE
MLA
NLM
Brown, D. B. (2007). Large deviations bounds for estimating conditional value-at-risk. Operations Research Letters, 35(6), 722–730. https://doi.org/10.1016/j.orl.2007.01.001
Brown, D. B. “Large deviations bounds for estimating conditional value-at-risk.” Operations Research Letters 35, no. 6 (November 1, 2007): 722–30. https://doi.org/10.1016/j.orl.2007.01.001.
Brown DB. Large deviations bounds for estimating conditional value-at-risk. Operations Research Letters. 2007 Nov 1;35(6):722–30.
Brown, D. B. “Large deviations bounds for estimating conditional value-at-risk.” Operations Research Letters, vol. 35, no. 6, Nov. 2007, pp. 722–30. Scopus, doi:10.1016/j.orl.2007.01.001.
Brown DB. Large deviations bounds for estimating conditional value-at-risk. Operations Research Letters. 2007 Nov 1;35(6):722–730.
Published In
Operations Research Letters
DOI
ISSN
0167-6377
Publication Date
November 1, 2007
Volume
35
Issue
6
Start / End Page
722 / 730
Related Subject Headings
- Operations Research
- 4901 Applied mathematics
- 1503 Business and Management
- 0103 Numerical and Computational Mathematics
- 0102 Applied Mathematics