@D.W., I have also found Mhammedi, Zakaria, Benjamin Guedj, and Robert C. Williamson. "Pac-bayesian bound for the conditional value at risk." Advances in Neural Information Processing Systems 33 (2020): 17919-17930.

@D.W., it is cited by 3 papers and probably the most relevant one is Georgiou, Chryssis, Marios Mavronicolas, and Burkhard Monien. "The complexity of (E+ Var)-equilibria, ESR-equilibria, and SuperE-equilibria for 2-players games with few cost values." Theoretical Computer Science 860 (2021): 84-97..

@NealYoung, done. Thanks a lot for catching it.

@HuckBennett, ^

@EmilJeřábek, ^

@ChandraChekuri, ^

@NealYoung, I have replaced "lower" with "higher". My sincere apologies for the confusion.