Deviation inequalities for an estimator of the conditional value-at-risk

doi:10.1016/j.orl.2009.11.008

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	Deviation inequalities for an estimator of the conditional value-at-risk
	Wang, Ying 1; Gao, Fuqing 2
	2010-05-01
发表期刊	OPERATIONS RESEARCH LETTERS
ISSN	0167-6377
卷号	38 期号:3 页码:236-239
摘要	In this paper, we present a deviation inequality for a common estimator of the conditional value-at-risk for bounded random variables. The result improves a deviation inequality which is obtained by Brown [D.B. Brown, Large deviations bounds for estimating conditional value-at-risk, Operations Research Letters 35 (2007) 722-730]. (C) 2009 Elsevier B.V. All rights reserved.
关键词	Conditional value-at-risk Deviation inequality Estimator
DOI	10.1016/j.orl.2009.11.008
语种	英语
资助项目	NSF of China[10871153]
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000277721200018
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10518
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Ying
作者单位	1.Chinese Acad Sci, Inst Appl Math, AMSS, Beijing 100190, Peoples R China 2.Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
推荐引用方式 GB/T 7714	Wang, Ying,Gao, Fuqing. Deviation inequalities for an estimator of the conditional value-at-risk[J]. OPERATIONS RESEARCH LETTERS,2010,38(3):236-239.
APA	Wang, Ying,&Gao, Fuqing.(2010).Deviation inequalities for an estimator of the conditional value-at-risk.OPERATIONS RESEARCH LETTERS,38(3),236-239.
MLA	Wang, Ying,et al."Deviation inequalities for an estimator of the conditional value-at-risk".OPERATIONS RESEARCH LETTERS 38.3(2010):236-239.