arXiv stat.ML
· Papers
Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications
arXiv:2608.07113v1 Announce Type: new Abstract: 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