مرکز منطقه ای اطلاع رساني علوم و فناوري - Large deviations bounds for estimating conditional value-at-risk

Title of article :

Large deviations bounds for estimating conditional value-at-risk

Author/Authors :

David B. Brown، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2007

Pages :

From page :

722

To page :

730

Keywords :

Convex risk measure , Large deviations , Estimation , Conditional value-at-risk , Optimized certainty equivalent

Journal title :

Operations Research Letters

Serial Year :

2007

Journal title :

Operations Research Letters

Record number :

137846

Link To Document :