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Abstract In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on… Click to show full abstract
Abstract In this note, we give normal approximation results for the conditional value at risk (CVaR) of partial sums of random variables satisfying moment assumptions. These results are based on Berry–Esseen-type bounds for transport costs in the central limit theorem and extensions of Cantelli's inequalities to the CVaR.
Keywords:
partial sums;
value risk;
conditional value;
risk partial
Journal Title: Comptes Rendus Mathematique
Year Published: 2017
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Journal Title: Comptes Rendus Mathematique
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!