Risk-sensitive and robust decision-making: a CVaR optimization approach. Chow, Y., Tamar, A., Mannor, S., & Pavone, M. In Advances in Neural Information Processing Systems (NIPS), pages 1522–1530, 2015.
bibtex   
@inproceedings{chow2015risk,
  title={Risk-sensitive and robust decision-making: a {CVaR} optimization approach},
  author={Chow, Yinlam and Tamar, Aviv and Mannor, Shie and Pavone, Marco},
  booktitle={Advances in Neural Information Processing Systems (NIPS)},
  pages={1522--1530},
  year={2015}
}

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