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math.OC2026
Exponential Adaptive Smoothing and Importance Sampling for Optimization of the Conditional Value-at-Risk
Will Asness, Brendan Keith, Boyan Lazarov +2
We present a novel method for solving conditional value-at-risk (CVaR) optimization problems based on the dual representation of CVaR, which is defined as the worst-case expectatio…
math.OC2026
The Risk Quadrangle in Optimization: An Overview with Recent Results and Extensions
Bogdan Grechuk, Anton Malandii, Terry Rockafellar +1
This paper revisits and extends the 2013 development by Rockafellar and Uryasev of the Risk Quadrangle (RQ) as a unified scheme for integrating risk management, optimization, and s…
stat.AP2026
Biased Mean Quadrangle and Applications
Anton Malandii, Stan Uryasev
This paper introduces \emph{biased mean regression}, estimating the \emph{biased mean}, i.e., , where . The approach addresses a fundamental st…