Asymptotic behavior of the empirical conditional value-at-risk
We study asymptotic behavior of the empirical conditional value-at-risk (CVaR). In particular, the Berry–Essen bound, the law of iterated logarithm, the moderate deviation principle and the large deviation principle for the empirical CVaR are obtained. We also give some numerical examples.
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Volume (Year): 49 (2011)
Issue (Month): 3 ()
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