Asymptotic behavior of the empirical conditional value-at-risk |
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Authors: | Fuqing Gao Shaochen Wang |
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Affiliation: | aSchool of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
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Abstract: | 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. |
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Keywords: | MSC: 60F10 60F15 62P05 |
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