Strong Consistency of CVaR Optimal Estimator - Open Journal of Statistics

OJS > Vol.8 No.3, June 2018

Strong Consistency of CVaR Optimal Estimator ()

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DOI: 10.4236/ojs.2018.83027 648 Downloads 1,610 Views

Author(s)

Xiaolin Li

Affiliation(s)

School of Economic, Jinan University, Guangzhou, China.

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.

KEYWORDS

Risk Measures, Conditional Value-at-Risk, Strong Consistency

Share and Cite:

Li, X. (2018) Strong Consistency of CVaR Optimal Estimator. Open Journal of Statistics, 8, 416-426. doi: 10.4236/ojs.2018.83027.

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