CVaR Pandora's box admits an exact Weitzman-style index after variational reduction, while CVaR prophet inequality has no constant-factor guarantee without distributional structure but recovers an explicit constant under recentered IFRA distributions.
Markov decision processes with average-value-at-risk criteria
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Dual static CVaR decompositions suffer from a CVaR evaluation gap caused by empty intersections in risk-assignment consistency constraints, and no single policy can be optimal across all risk levels in some MDPs.
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Risk of Bad Tails: CVaR-Aware Pandora's Box and Prophet Inequality
CVaR Pandora's box admits an exact Weitzman-style index after variational reduction, while CVaR prophet inequality has no constant-factor guarantee without distributional structure but recovers an explicit constant under recentered IFRA distributions.
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On the Fundamental Limitations of Dual Static CVaR Decompositions in Markov Decision Processes
Dual static CVaR decompositions suffer from a CVaR evaluation gap caused by empty intersections in risk-assignment consistency constraints, and no single policy can be optimal across all risk levels in some MDPs.