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Trindade, A.A., Uryasev, S., Shapiro, A. and Zrazhevsky, G. (2007) Financial Prediction with Constrained Tail Risk. Journal of Banking and Finance, 31, 3524-3538.
https://doi.org/10.1016/j.jbankfin.2007.04.014

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.