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.
An old-new concept of convex risk measures: The optimized certainty equivalent
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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.