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Robust Risk Under Evolving Uncertainty: A Wasserstein Counterpart of the Entropic Value-at-Risk

#Robust #Risk #Under #Evolving #Uncertainty

arXiv:2608.19073v1 Announce Type: cross Abstract: An agent still learning its environment should be cautious while ignorant and bold once confident. The entropic value-at-risk captures this through a robust-optimization identity---a confidence level fixes the radius of a relative-entropy ball of…