Strong Consistency of CVaR Optimal Estimator ()
ABSTRACT
Conditional Value-at-Risk (CVaR) is one of the
commonly used risk measures. The paper shows t
hat 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.
Share and Cite:
Li, X. (2018) Strong Consistency of CVaR Optimal Estimator.
Open Journal of Statistics,
8, 416-426. doi:
10.4236/ojs.2018.83027.
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