Related papers: Lambda Value-at-Risk under ambiguity and risk shar…

Conditional Value at Risk (CVaR) is widely used to account for the preferences of a risk-averse agent in the extreme loss scenarios. To study the effectiveness of randomization in interdiction games with an interdictor that is both risk and…

This paper investigates calculations of robust funding valuation adjustment (FVA) for over the counter (OTC) derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure. Wrong way funding risk can be…

We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear…

Traditional multi-armed bandit (MAB) formulations usually make certain assumptions about the underlying arms' distributions, such as bounds on the support or their tail behaviour. Moreover, such parametric information is usually 'baked'…

Variational inference for latent variable models is prevalent in various machine learning problems, typically solved by maximizing the Evidence Lower Bound (ELBO) of the true data likelihood with respect to a variational distribution.…

We consider a class of semiparametric regression models which are one-parameter extensions of the Cox [J. Roy. Statist. Soc. Ser. B 34 (1972) 187-220] model for right-censored univariate failure times. These models assume that the hazard…

This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some…

We show that a wide class of risk-constrained nonconvex functional optimization problems exhibit strong duality, regardless of nonconvexity. We develop two novel results under distinct sets of assumptions, establishing strong duality over…

Value-at-risk (VaR) is an established measure to assess risks in critical real-world applications with random environmental factors. This paper presents a novel VaR upper confidence bound (V-UCB) algorithm for maximizing the VaR of a…

In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study…

In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…

Copula-based Conditional Value at Risk (CCVaR) is defined as an alternative version of the classical Conditional Value at Risk (CVaR) for multivariate random vectors intended to be real-valued. We aim to generalize CCVaR to several…

This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation $\succeq$ on the space $\tilde{V}$ of random variables induces an ambiguity index $c$ on the space…

Risk sensitivity has become a central theme in reinforcement learning (RL), where convex risk measures and robust formulations provide principled ways to model preferences beyond expected return. Recent extensions to multi-agent RL (MARL)…

Distributionally robust optimization is used to tackle decision making problems under uncertainty where the distribution of the uncertain data is ambiguous. Many ambiguity sets have been proposed for continuous uncertainty that build on…

We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…

We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…

We propose a multilevel stochastic approximation (MLSA) scheme for the computation of the value-at-risk (VaR) and expected shortfall (ES) of a financial loss, which can only be computed via simulations conditionally on the realisation of…

We give an axiomatic foundation to $\Lambda$-quantiles, a family of generalized quantiles introduced by Frittelli et al. (2014) under the name of Lambda Value at Risk. Under mild assumptions, we show that these functionals are characterized…

We propose and analyze a continuous-time robust reinforcement learning framework for optimal stopping under ambiguity. In this framework, an agent chooses a robust exploratory stopping time motivated by two objectives: robust…