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has been cited by the following article:
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.