Central Limit Theorems for Law-Invariant Coherent Risk Measures.

Denis Belomestny Volker Krätschmer

Published in: J. Appl. Probab. (2012)

Keyphrases

risk measures
limit theorems
heavy traffic
confidence intervals
queue length
steady state
portfolio optimization
robust optimization
queueing networks
risk averse
information systems
machine learning
long run
asymptotically optimal