Extended Data Fig. 1. Variance of CVaR estimates.

Variance of CVaR estimates: We draw 10⁵ uniform samples from the original data to estimate the CVaR for ${\alpha }_p^{\prime }$, p = 1, …5, cf. Table 2, and repeat this 10⁴ times to get an estimate of the variance of the CVaR estimator. The dashed green line is fitted to the results and is in line with the predicted upper bound of $\mathcal{O}\left(1/\alpha \right)$.

Source data.