Ravi Kolla

Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions

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 of sub-Gaussian, light-tailed and heavy-tailed distributions. For the sub-Gaussian and light-tailed cases, we use a class…