Strong Consistency of CVaR Optimal Estimator

• 作者: Xiaolin Li
• 来源期刊: 统计学期刊(英文)
• 学科: 数学
• 关键词: Risk Measures CONDITIONAL VALUE-AT-RISK STRONG CONSISTENCY
• 年，卷（期）: 2018,（3）
• 页码范围: 416-426
• 页数: 11页
• 分类号: O1

摘要

Conditional Value-at-Risk (CVaR) is one of the commonly used risk measures. The paper shows that the optimal estimator of CVaR is strong consistency if the first-order moment of the population exists. We subsequently carry out numerical simulations to test the conclusion. We use the results to make an empirical analysis of Shenzhen A shares.