About the conditional value at risk of partial sums
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DOI: 10.1016/j.crma.2017.10.008
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… read more here.
Keywords: partial sums; value risk; conditional value; risk partial ... See more keywords