Large deviations bounds for estimating conditional value-at-risk

Authors:
David B. Brown
Affiliations:
The Fuqua School of Business, Duke University, 1 Towerview Drive, Durham, NC 27708, USA
Venue:
Operations Research Letters
Year:
2007

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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.