Related papers: Interpretations of Directed Information in Portfol…
First-order probabilistic models combine representational power of first-order logic with graphical models. There is an ongoing effort to design lifted inference algorithms for first-order probabilistic models. We analyze lifted inference…
In this paper we apply second-order stochastic dominance (SSD) to the problem of enhanced indexation with asset subset (sector) constraints. The problem we consider is how to construct a portfolio that is designed to outperform a given…
Synthetic data becomes crucial for large language model training, but its effectiveness is highly inconsistent. We provide an information-theoretic account of this inconsistency: synthetic data improves a model only when the…
The use of synthetic data to deidentify data and to improve predictive models is well-attested to. The augmentation of datasets using synthetically generated data is an alluring proposition: in the best case, it generates realistic data…
Portfolio optimization is a critical area in finance, aiming to maximize returns while minimizing risk. Metaheuristic algorithms were shown to solve complex optimization problems efficiently, with Genetic Algorithms and Particle Swarm…
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is robust to in-sample and out-of-sample estimation and is…
Information that is of relevance for decision-making is often distributed, and held by self-interested agents. Decision markets are well-suited mechanisms to elicit such information and aggregate it into conditional forecasts that can be…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
Many legal cases require decisions about causality, responsibility or blame, and these may be based on statistical data. However, causal inferences from such data are beset by subtle conceptual and practical difficulties, and in general it…
In many real world problems, optimization decisions have to be made with limited information. The decision maker may have no a priori or posteriori data about the often nonconvex objective function except from on a limited number of points…
Causal inference from observational data provides strong evidence for the best action in decision-making without performing expensive randomized trials. The effect of an action is usually not identifiable under unobserved confounding, even…
Causal analysis may be affected by selection bias, which is defined as the systematic exclusion of data from a certain subpopulation. Previous work in this area focused on the derivation of identifiability conditions. We propose instead a…
Information theory has been very successful in obtaining performance limits for various problems such as communication, compression and hypothesis testing. Likewise, stochastic control theory provides a characterization of optimal policies…
We consider a natural measure of relevance: the reduction in optimal prediction risk in the presence of side information. For any given loss function, this relevance measure captures the benefit of side information for performing inference…
Randomized experiments are the gold standard for evaluating the effects of changes to real-world systems. Data in these tests may be difficult to collect and outcomes may have high variance, resulting in potentially large measurement error.…
Reinforcement learning in environments with many action-state pairs is challenging. At issue is the number of episodes needed to thoroughly search the policy space. Most conventional heuristics address this search problem in a stochastic…
The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process,…
In the market place, diversification reduces risk and provides protection against extreme events by ensuring that one is not overly exposed to individual occurrences. We argue that diversification is best measured by characteristics of the…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…
We use the method of Maximum (relative) Entropy to process information in the form of observed data and moment constraints. The generic "canonical" form of the posterior distribution for the problem of simultaneous updating with data and…