Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics.
So Yeon ChunAlexander ShapiroStan UryasevPublished in: Oper. Res. (2012)
Keyphrases
- estimation error
- decision making
- markov chain
- sufficient conditions
- database
- robust estimation
- parameter estimation
- standard deviation
- minimum risk
- large deviations
- estimation accuracy
- accurate estimation
- risk assessment
- risk management
- probabilistic model
- dynamic programming
- special case
- data structure
- multiscale
- decision trees
- search engine
- data sets