A Wasserstein distance approach for concentration of empirical risk estimates. (arXiv:1902.10709v4 [math.ST] UPDATED)

Web: http://arxiv.org/abs/1902.10709

This paper presents a unified approach based on Wasserstein distance to
derive concentration bounds for empirical estimates for two broad classes of
risk measures defined in the paper. The classes of risk measures introduced
include as special cases well known risk measures from the finance literature
such as conditional value at risk (CVaR), optimized certainty equivalent risk,
spectral risk measures, utility-based shortfall risk, cumulative prospect
theory (CPT) value, rank dependent expected utility and distorted risk
measures. Two estimation schemes are …

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