2 papers
cs.LG2019
Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions
Prashanth L. A., Krishna Jagannathan, Ravi Kumar Kolla
Conditional Value-at-Risk (CVaR) is a widely used risk metric in applications such as finance. We derive concentration bounds for CVaR estimates, considering separately the cases o…
cs.LG2018
Concentration bounds for empirical conditional value-at-risk: The unbounded case
Ravi Kumar Kolla, Prashanth L. A., Sanjay P. Bhat +1
In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control loss…