ρ-NPTS_SG is asymptotically optimal for continuous risk functionals on bounded-density sub-Gaussian distributions, with the first instance-optimal guarantees for non-Lipschitz cases like the Sharpe ratio.
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Asymptotic Optimality of Thompson Sampling for Risk-Averse Bandits with Sub-Gaussian Rewards
ρ-NPTS_SG is asymptotically optimal for continuous risk functionals on bounded-density sub-Gaussian distributions, with the first instance-optimal guarantees for non-Lipschitz cases like the Sharpe ratio.