Authors
David B Brown
Publication date
2007/11/1
Journal
Operations Research Letters
Volume
35
Issue
6
Pages
722-730
Publisher
North-Holland
Description
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.
Total citations
Scholar articles
DB Brown - Operations Research Letters, 2007