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.
Generalization bounds for regularized portfolio selection with market side information
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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.