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cs.LG2023
Optimization of utility-based shortfall risk: A non-asymptotic viewpoint
Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat
We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR), which is a popular risk measure in finance. In the context of UBSR estimation, we de…
cs.LG2023
Risk Estimation in a Markov Cost Process: Lower and Upper Bounds
Gugan Thoppe, L. A. Prashanth, Sanjay Bhat
We tackle the problem of estimating risk measures of the infinite-horizon discounted cost within a Markov cost process. The risk measures we study include variance, Value-at-Risk (…