{"id":"https://openalex.org/W4407949302","doi":"https://doi.org/10.1109/cdc56724.2024.10886142","title":"Optimization of Utility-based Shortfall Risk: A Non-asymptotic Viewpoint","display_name":"Optimization of Utility-based Shortfall Risk: A Non-asymptotic Viewpoint","publication_year":2024,"publication_date":"2024-12-16","ids":{"openalex":"https://openalex.org/W4407949302","doi":"https://doi.org/10.1109/cdc56724.2024.10886142"},"language":"en","primary_location":{"id":"doi:10.1109/cdc56724.2024.10886142","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc56724.2024.10886142","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2024 IEEE 63rd Conference on Decision and Control (CDC)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5108222149","display_name":"Sumedh Gupte","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Sumedh Gupte","raw_affiliation_strings":["TCS Research,Hyderabad,India"],"affiliations":[{"raw_affiliation_string":"TCS Research,Hyderabad,India","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068379567","display_name":"L. A. Prashanth","orcid":null},"institutions":[{"id":"https://openalex.org/I24676775","display_name":"Indian Institute of Technology Madras","ror":"https://ror.org/03v0r5n49","country_code":"IN","type":"facility","lineage":["https://openalex.org/I24676775"]}],"countries":["IN"],"is_corresponding":false,"raw_author_name":"L. A Prashanth","raw_affiliation_strings":["IIT Madras,Department of Computer Science and Engineering,India"],"affiliations":[{"raw_affiliation_string":"IIT Madras,Department of Computer Science and Engineering,India","institution_ids":["https://openalex.org/I24676775"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039306255","display_name":"Sanjay P. Bhat","orcid":"https://orcid.org/0000-0002-8595-6081"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Sanjay P. Bhat","raw_affiliation_strings":["TCS Research,Hyderabad,India"],"affiliations":[{"raw_affiliation_string":"TCS Research,Hyderabad,India","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5108222149"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.516,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.74094986,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"1075","last_page":"1080"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9282000064849854,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9282000064849854,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/expected-shortfall","display_name":"Expected shortfall","score":0.5989657044410706},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5210051536560059},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.358593225479126},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.24912101030349731},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.21771004796028137},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16300281882286072}],"concepts":[{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.5989657044410706},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5210051536560059},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.358593225479126},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.24912101030349731},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.21771004796028137},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16300281882286072},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cdc56724.2024.10886142","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cdc56724.2024.10886142","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2024 IEEE 63rd Conference on Decision and Control (CDC)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1647779468","https://openalex.org/W1983916623","https://openalex.org/W2019291268","https://openalex.org/W2031355801","https://openalex.org/W2118940214","https://openalex.org/W2132527237","https://openalex.org/W2153141513","https://openalex.org/W2903332242","https://openalex.org/W2963433607","https://openalex.org/W3161862726","https://openalex.org/W3214544052","https://openalex.org/W4229984434","https://openalex.org/W4245879216","https://openalex.org/W4248704747","https://openalex.org/W4288558849","https://openalex.org/W4367840433","https://openalex.org/W4407949302","https://openalex.org/W6635304769"],"related_works":["https://openalex.org/W4391375266","https://openalex.org/W2899084033","https://openalex.org/W2748952813","https://openalex.org/W2390279801","https://openalex.org/W4391913857","https://openalex.org/W2358668433","https://openalex.org/W4396701345","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W4396696052"],"abstract_inverted_index":{"We":[0,77,99,116],"consider":[1],"the":[2,22,33,37,47,57,75,81,88,104,118,138],"problems":[3],"of":[4,8,24,36,43,49,69,72,140,142],"estimation":[5,105],"and":[6],"optimization":[7],"utility-based":[9],"shortfall":[10],"risk":[11,17],"(UBSR),":[12],"which":[13,73,107],"is":[14,66,113],"a":[15,29,61,67,95,123],"popular":[16],"measure":[18],"in":[19,46,87],"finance.":[20],"In":[21],"context":[23,48],"UBSR":[25,50,58,89,129,147],"estimation,":[26],"we":[27,52,132],"derive":[28,53,100,133],"non-asymptotic":[30,101,134],"bound":[31],"on":[32,103],"mean-squared":[34],"error":[35],"classical":[38],"sample":[39],"average":[40],"approximation":[41],"(SAA)":[42],"UBSR.":[44,76],"Next,":[45],"optimization,":[51],"an":[54],"expression":[55,65,91],"for":[56,80,128,146],"gradient":[59,90,97,111,120,125],"under":[60],"smooth":[62],"parameterization.":[63],"This":[64],"ratio":[68],"expectations,":[70],"both":[71],"involve":[74],"use":[78],"SAA":[79],"numerator":[82],"as":[83,85],"well":[84],"denominator":[86],"to":[92],"arrive":[93],"at":[94],"biased":[96],"estimator.":[98],"bounds":[102,135],"error,":[106],"show":[108],"that":[109,136],"our":[110,143],"estimator":[112,121],"asymptotically":[114],"unbiased.":[115],"incorporate":[117],"aforementioned":[119],"into":[122],"stochastic":[124],"(SG)":[126],"algorithm":[127,145],"optimization.":[130,148],"Finally,":[131],"quantify":[137],"rate":[139],"convergence":[141],"SG":[144]},"counts_by_year":[{"year":2024,"cited_by_count":1}],"updated_date":"2025-12-21T01:58:51.020947","created_date":"2025-10-10T00:00:00"}
