TITLE:
Strong Consistency of CVaR Optimal Estimator
AUTHORS:
Xiaolin Li
KEYWORDS:
Risk Measures, Conditional Value-at-Risk, Strong Consistency
JOURNAL NAME:
Open Journal of Statistics,
Vol.8 No.3,
May
28,
2018
ABSTRACT: 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.