Fetching the paper…
Reading the bibliography…
This paper presents a unified approach based on Wasserstein distance to derive concentration bounds for empirical estimates for two broad classes of risk measures defined in the paper.
Expected utility, penalty functions, and duality in stochastic nonlinear programming
A. Ben-Tal and M. Teboulle · 1909
Earlier work this paper cites.
Le comportement de l’homme rationel devant le risque: Critique des postulats et axioms de l’ecole americaine
M. Allais · 1953
Earlier work this paper cites.
Risk, ambiguity and the Savage’s axioms
D. Ellsberg · 1961
Earlier work this paper cites.
Mathematical Analysis
T. M. Apostol · 1974
Earlier work this paper cites.
Calculation of the Wasserstein distance between probability distributions on the line
S. S. Vallander · 1974
Earlier work this paper cites.
Prospect theory: An analysis of decision under risk
D. Kahneman and A. Tversky · 1979
Earlier work this paper cites.
A class of Wasserstein metrics for probability distributions
C. R. Givens and R. M. Shortt · 1984
Earlier work this paper cites.
Distorted probabilities and insurance premiums
D. Denneberg · 1990
Earlier work this paper cites.
Advances in prospect theory: Cumulative representation of uncertainty
A. Tversky and D. Kahneman · 1992
Earlier work this paper cites.
Insurance pricing and increased limits ratemaking by proportional hazards transforms
S. Wang · 1995
Earlier work this paper cites.
Premium calculation by transforming the layer premium density
S. Wang · 1996
Earlier work this paper cites.
Coherent measures of risk
P. Artzner, F. Delbaen, J. Eber, and D. Heath · 1999
Earlier work this paper cites.
Optimization of conditional value-at-risk
R. T. Rockafellar and S. Uryasev · 2000
Earlier work this paper cites.
Spectral measures of risk: A coherent representation of subjective risk aversion
C. Acerbi · 2002
Earlier work this paper cites.
Finite-time analysis of the multiarmed bandit problem
P. Auer, N. Cesa-Bianchi, and P. Fischer · 2002
Earlier work this paper cites.
Convex measures of risk and trading constraints
H. Föllmer and A. Schied · 2002
Earlier work this paper cites.
Extreme spectral risk measures: an application to futures clearinghouse margin requirements
J. Cotter and K. Dowd · 2006
Earlier work this paper cites.
After VaR: The theory, estimation and insurance applications of quantile-based risk measures
K. Dowd and D. Blake · 2006
Cited alongside, same era.
An old-new concept of convex risk measures: The optimized certainty equivalent
A. Ben-Tal and M. Teboulle · 2007
Cited alongside, same era.
Quantitative concentration inequalities for empirical measures on non-compact spaces
F. Bolley, A. Guillin, and C. Villani · 2007
Cited alongside, same era.
Large deviations bounds for estimating conditional value-at-risk
D. B. Brown · 2007
Cited alongside, same era.
Optimal transport: old and new , volume 338
C. Villani · 2008
Cited alongside, same era.
Stochastic root finding and efficient estimation of convex risk measures
J Dunkel and S Weber · 2010
Cited alongside, same era.
Cumulative prospect theory meets reinforcement learning: prediction and control
L. A. Prashanth, J. Cheng, M. C. Fu, S. I. Marcus, and C. Szepesvári · 2016
Later among the works it cites.
Weighted bandits or: How bandits learn distorted values that are not expected
A. Gopalan, L. A. Prashanth, M. C. Fu, and S. I. Marcus · 2017
Later among the works it cites.
Scalar, Vector, and Matrix Mathematics: Theory, Facts, and Formulas
D. S. Bernstein · 2018
Later among the works it cites.
A general approach to multi-armed bandits under risk criteria
A. Cassel, S. Mannor, and A. Zeevi · 2018
Later among the works it cites.
Stochastic optimization in a cumulative prospect theory framework
J. Cheng, L. A. Prashanth, M. C. Fu, S. I. Marcus, and C. Szepesvári · 2018
Later among the works it cites.
Utility-based shortfall risk: Efficient computations via monte carlo
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…
Deviation inequalities for an estimator of the conditional value-at-risk
Y. Wang and F. Gao · 2010
Cited alongside, same era.
Simple bounds for the convergence of empirical and occupation measures in 1-Wasserstein distance
E. Boissard · 2011
Cited alongside, same era.
On the Kantorovich–Rubinstein Theorem
D. A. Edwards · 2011
Cited alongside, same era.
Scheduling for heavy-tailed and light-tailed workloads in queueing systems
J. U. Nair · 2012
Cited alongside, same era.
Generalized Expected Utility Theory: The Rank-dependent Model
J. Quiggin · 2012
Cited alongside, same era.
Thirty years of prospect theory in economics: A review and assessment
N. C. Barberis · 2013
Cited alongside, same era.
Z. Hu and D. Zhang · 2018
Later among the works it cites.
High-dimensional probability: An introduction with applications in data science , volume 47
R. Vershynin · 2018
Later among the works it cites.
Concentration of risk measures: A Wasserstein distance approach
S. P. Bhat and L. A. Prashanth · 2019
Closest in time.
Distribution oblivious, risk-aware algorithms for multi-armed bandits with unbounded rewards
A. Kagrecha, J. Nair, and K. Jagannathan · 2019
Closest in time.
Concentration bounds for empirical conditional value-at-risk: The unbounded case
R. K. Kolla, L.A. Prashanth, S. P. Bhat, and K. Jagannathan · 2019
Closest in time.
Concentration inequalities for conditional value at risk
P. Thomas and E. Learned-Miller · 2019
Closest in time.
Sharp asymptotic and finite-sample rates of convergence of empirical measures in Wasserstein distance
J. Weed and F. Bach · 2019
Closest in time.
Learning bounds for risk-sensitive learning
J. Lee, S. Park, and J. Shin · 2020
Closest in time.
Convergence and concentration of empirical measures under Wasserstein distance in unbounded functional spaces
J. Lei · 2020
Closest in time.
Concentration bounds for CVaR estimation: The cases of light-tailed and heavy-tailed distributions
L. A. Prashanth, K. Jagannathan, and R. K. Kolla · 2020
Closest in time.
Estimation of spectral risk measures
A. K. Pandey, L. A. Prashanth, and S. P. Bhat · 2021
Closest in time.