Adversarially Robust Control of Conditional Value-at-Risk via Rockafellar-Uryasev Conformal Inference

In three linesOnline, distribution-free framework for controlling Conditional Value-at-Risk (CVaR) in non-stationary and adversarial environments. Combines conformal tail risk control, online learning, and Rockafellar-Uryasev variational representation. Provable safety guarantees for nonlinear tail risk under arbitrary data-generating processes. Applications: portfolio risk management and LLM toxicity mitigation.

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