{"paper":{"title":"On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["cs.SY","math.OC"],"primary_cat":"eess.SY","authors_text":"Kevin M. Smith, Margaret P. Chapman","submitted_at":"2021-08-03T22:07:37Z","abstract_excerpt":"The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex mapping $\\varphi$ of objective costs to subjective costs. An objective cost is a realization $y$ of a random variable $Y$. In contrast, a subjective cost is a realization $\\varphi(y)$ of a random variable $\\varphi(Y)$ that has been transformed to measure preferences about the outcomes. For EU, the transformation is $\\varphi(y) = \\exp(\\frac{-\\theta}{2}y)$, and "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2108.01771","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2108.01771/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}