Large deviations bounds for estimating conditional value-at-risk |
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| Authors: | David B Brown |
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| Institution: | The Fuqua School of Business, Duke University, 1 Towerview Drive, Durham, NC 27708, USA |
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| 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. |
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| Keywords: | Conditional value-at-risk Convex risk measure Optimized certainty equivalent Large deviations Estimation |
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