{"paper":{"title":"Gradient-based Stochastic Optimization of Utility-based Shortfall Risk","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["q-fin.MF","stat.CO"],"primary_cat":"cs.CE","authors_text":"Prashanth L.A., Sanjay P. Bhat, Sumedh Gupte","submitted_at":"2025-06-01T17:53:15Z","abstract_excerpt":"We consider the problems of estimation and optimization of utility-based shortfall risk (UBSR). We extend UBSR to cover possibly unbounded random variables. We cover prominent risk measures such as entropic risk, expectile risk, Value-at-Risk, and quadratic risk as special cases of the UBSR. In the context of estimation, we derive non-asymptotic bounds on the mean absolute error (MAE) and the mean-squared error (MSE) of the classical sample-average approximation (SAA) estimator for the UBSR. In the context of optimization, we derive an expression for the gradient of UBSR under a smooth paramet"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2506.01101","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2506.01101/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}