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.
Coherent measures of risk
3 Pith papers cite this work. Polarity classification is still indexing.
3
Pith papers citing it
representative citing papers
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.
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.
citing papers explorer
-
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.
-
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.
-
Bayesian Extreme Value Theory with Hawkes-AR-Gumbel Dependence for Extreme CVaR Estimation in Operational Risk
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.