CSpace
Deviation inequalities for an estimator of the conditional value-at-risk
Wang, Ying1; Gao, Fuqing2
2010-05-01
Source PublicationOPERATIONS RESEARCH LETTERS
ISSN0167-6377
Volume38Issue:3Pages:236-239
AbstractIn 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.
KeywordConditional value-at-risk Deviation inequality Estimator
DOI10.1016/j.orl.2009.11.008
Language英语
Funding ProjectNSF of China[10871153]
WOS Research AreaOperations Research & Management Science
WOS SubjectOperations Research & Management Science
WOS IDWOS:000277721200018
PublisherELSEVIER SCIENCE BV
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/10518
Collection中国科学院数学与系统科学研究院
Corresponding AuthorWang, Ying
Affiliation1.Chinese Acad Sci, Inst Appl Math, AMSS, Beijing 100190, Peoples R China
2.Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
Recommended Citation
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.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Wang, Ying]'s Articles
[Gao, Fuqing]'s Articles
Baidu academic
Similar articles in Baidu academic
[Wang, Ying]'s Articles
[Gao, Fuqing]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Wang, Ying]'s Articles
[Gao, Fuqing]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.