Large deviations bounds for estimating conditional value-at-risk (Q2467442)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large deviations bounds for estimating conditional value-at-risk |
scientific article |
Statements
Large deviations bounds for estimating conditional value-at-risk (English)
0 references
21 January 2008
0 references
conditional value-at-risk
0 references
convex risk measure
0 references
optimized certainty equivalent
0 references
large deviations
0 references
estimation
0 references
