Financial prediction with constrained tail risk

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Kullback-Leibler divergence constrained distributionally robust optimization (2012, unknown): “From the definition of VaR (e.g., Trindade et al. 2007), it is not difficult to verify Problem (35) can be rewritten as minimize x∈X,t∈∈ t (37) subject to Pr ∼P {H(x, ξ) − t ≤ 0} ≥ 1 − β, ∀ P ∈ P.”
The fundamental risk quadrangle in risk management, optimization and statistical estimation (2013, background): “Some related research in special cases, largely concerned with quantile regression, can be seen in [40–42]; see also [39] for further motivation, and moreover [43].”