Online estimation and optimization of utility-based shortfall risk

DOI10.1287/MOOR.2022.0266MaRDI QIDQ6893704zbMATH OpenFDO

Authors Vishwajit Hegde, Arvind Satish Menon, L. A. Prashanth, Krishna Jagannathan

Publication date 26 November 2025

Published in Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

nonasymptotic boundsutility-based shortfall riskrisk-sensitive optimizationUBSR estimationUBSR optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16)

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