Author

Sanjay P. Bhat

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Preprint Aug 2026

Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications

This work provides a useful characterization of OCE that links OCE to utility-based shortfall risk (UBSR) and enables it to form an OCE estimator from the classic sample-average approximation of UBSR, and derives mean-squared error bounds for the proposed OCE estimator.

Sumedh Gupte, A. PrashanthL., Sanjay P. Bhat · 1 citation