Optimization of utility-based shortfall risk: A non-asymptotic viewpoint

arXiv:2310.18743v2 Announce Type: replace
Abstract: We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR), which is a popular risk measure in finance. In the context of UBSR estimation, we derive a non-asymptotic bound on the mean-squared error of the classical sample average approximation (SAA) of UBSR. Next, in the context of UBSR optimization, we derive an expression for the UBSR gradient under a smooth parameterization. This expression is a ratio of expectations, both of which involve …

abstract approximation arxiv context cs.lg error finance mean next optimization popular risk sample type utility