The paper provides finite-sample guarantees for SAA estimators and stochastic-gradient optimizers of UBSR and OCE risk measures, extending them to unbounded random variables.
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Gradient-based Stochastic Optimization of Utility-based Shortfall Risk
The paper provides finite-sample guarantees for SAA estimators and stochastic-gradient optimizers of UBSR and OCE risk measures, extending them to unbounded random variables.