Online Estimation and Optimization of Utility-Based Shortfall Risk

Understand

Utility-Based Shortfall Risk (UBSR) is a risk metric that is increasingly popular in financial applications, owing to certain desirable properties that it enjoys.

• We consider the problem of estimating UBSR in a recursive setting, where samples from the underlying loss distribution are available one-at-a-time.
• We cast the UBSR estimation problem as a root finding problem, and propose stochastic approximation-based estimations schemes.
• We derive non-asymptotic bounds on the estimation error in the number of samples.