Concentration bounds for empirical conditional value-at-risk : the unbounded case
Ravi Kumar Kolla, Prashanth L.A., Sanjay P. Bhat, Krishna Jagannathan
| Year of publication: |
2019
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|---|---|
| Authors: | Kolla, Ravi Kumar ; Prashanth L. A. ; Bhat, Sanjay P. ; Jagannathan, Krishna |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 47.2019, 1, p. 16-20
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| Subject: | Value-at-risk | Conditional value-at-risk | Concentration bounds | Sub-Gaussian distributions | Sub-exponential distributions | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Unternehmenskonzentration | Market concentration | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2018.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011991314