CVaR Pandora's box admits Weitzman-style index after variational reduction; CVaR prophet inequality admits no constant approximation in general but does under IFRA distributions.
Coherent measures of risk
3 Pith papers cite this work. Polarity classification is still indexing.
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Dual static CVaR decompositions suffer from a CVaR evaluation gap caused by empty intersections in risk-assignment consistency constraints, and no single policy can be optimal across all risk levels in some MDPs.
Bayesian EVT with Hawkes-AR-Gumbel dependence estimates CVaR up to 99.995% on simulated operational risk data and outperforms independent and shared-factor baselines.
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Risk of Bad Tails: CVaR-Aware Pandora's Box and Prophet Inequalities
CVaR Pandora's box admits Weitzman-style index after variational reduction; CVaR prophet inequality admits no constant approximation in general but does under IFRA distributions.