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Sponsored Artificial Intelligence: A Modern Approach, Global Edition Artificial Intelligence: A Modern Approach, Global Edition

Author

Heng Luo

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Sep 2026

Contextual Conditional Value-at-Risk: Estimation and Optimization

This work exploits the Rockafellar–Uryasev representation to formulate both contextual CVaR estimation and optimization as optimization problems involving conditional expectations, and develops a unified data-driven predict-then-optimize framework.

Heng Luo, Ni-Fei Lin, L. J. Hong · 0 citations

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