Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications
We consider the optimization of the Optimized Certainty Equivalent (OCE) risk, with applications including portfolio optimization in finance, and uncertainty quantification, classification, and regression in machine learning. Our contributions cover popular special cases of OCE, such as entropic risk, mean-variance risk, and smooth variants of Conditional Value-at-Risk. Our treatment sets out the conditions that facilitate the extension of OCE to unbounded r.v.s.. We provide a useful characterization of OCE that links OCE to utility-based shortfall risk (UBSR). Our characterization enables us to form an OCE estimator from the classic sample-average approximation (SAA) of UBSR. We derive m...
| Authors | Sumedh Gupte, Prashanth L. A., Sanjay P. Bhat |
|---|---|
| Primary category | stat.ML |
| Published | 7 August 2026 |
| Last updated at source | 7 August 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.