Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions

ICML 2020 Prashanth L. A.Krishna JagannathanRavi Kumar Kolla

Conditional Value-at-Risk (CVaR) is a widely used risk metric in applications such as finance. We derive concentration bounds for CVaR estimates, considering separately the cases of light-tailed and heavy-tailed distributions... (read more)

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