Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.
Shortfall risk models when information on loss function is incomplete
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Risk-averse Decision Making with Contextual Information: Model, Sample Average Approximation, and Kernelization
Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.