Optimization of Utility-based Shortfall Risk: A Non-asymptotic Viewpoint. - Sumedh Gupte; Prashanth L. A.; Sanjay P. Bhat (CDC, 2024)

Learning to optimize convex risk measures: The cases of utility-based shortfall risk and optimized certainty equivalent risk. - Sumedh Gupte; Prashanth L. A.; Sanjay P. Bhat (CoRR, 2025)