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Strong Consistency of CVaR Optimal Estimator
School of Economic, Jinan University, Guangzhou, China
- 1 School of Economic, Jinan University, Guangzhou, China
Open Journal of Statistics·Volume 08 (2018)·Pages 416–426·Published 9 May 2018·DOI10.4236/ojs.2018.83027
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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.
KeywordsRisk MeasuresConditional Value-at-RiskStrong Consistency
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