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q-fin.RM2025
EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals
Anand Deo
Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst…
math.OC2025
The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization
Anand Deo, Karthyek Murthy
We study the problem of resource provisioning under stringent reliability or service level requirements, which arise in applications such as power distribution, emergency response,…