The article introduces a new method for making decisions that takes into account both the average cost and the variability of costs. This method is based on a type of risk measure commonly used in finance and operations research. The researchers developed a way to apply this method to a wide range of risk measures, not just specific ones like variance or CVaR. They used different techniques for static and dynamic risk measures, resulting in a more comprehensive approach to decision-making under uncertainty. This work expands on previous research and offers a more unified way to incorporate risk into learning and decision-making processes.