Related papers: Why Indexing Works
We study investment strategy in different models of financial markets, where the investors cannot reach a perfect knowledge about available assets. The investor spends a certain effort to get information; this allows him to better choose…
Analytical queries defined on data warehouses are complex and use several join operations that are very costly, especially when run on very large data volumes. To improve response times, data warehouse administrators casually use indexing…
Social learning is a fundamental mechanism shaping decision-making across numerous social networks, including social trading platforms. In those platforms, investors combine traditional investing with copying the behavior of others.…
Active learning (AL) is a widely-used training strategy for maximizing predictive performance subject to a fixed annotation budget. In AL one iteratively selects training examples for annotation, often those for which the current model is…
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…
A common way of learning to perform a task is to observe how it is carried out by experts. However, it is well known that for most tasks there is no unique way to perform them. This is especially noticeable the more complex the task is…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time…
One index satisfies the duality axiom if one agent, who is uniformly more risk-averse than another, accepts a gamble, the latter accepts any less risky gamble under the index. Aumann and Serrano (2008) show that only one index defined for…
We develop appropriately generalized notions of indexability for problems of dynamic resource allocation where the resource concerned may be assigned more flexibility than is allowed, for example, in classical multi-armed bandits. Most…
Stock market indices serve as fundamental market measurement that quantify systematic market dynamics. However, accurate index price prediction remains challenging, primarily because existing approaches treat indices as isolated time series…
Trend following and momentum investing are common strategies employed by asset managers. Even though they can be helpful in the proper situations, they are limited in the sense that they work just by looking at past, as if we were driving…
One of the most important problems in modern finance is finding efficient ways to summarize and visualize the stock market data to give individuals or institutions useful information about the market behavior for investment decisions. The…
This paper reviews the modularity index and suggests an alternative index of the quality of a division of a network into subsets.
Indices quantifying the performance of classifiers under class-imbalance, often suffer from distortions depending on the constitution of the test set or the class-specific classification accuracy, creating difficulties in assessing the…
Given a collection of computational models that all estimate values of the same natural process, we compare the performance of the average of the collection to the individual member whose estimates are nearest a given set of observations.…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
Model selection requires repeatedly evaluating models on a given dataset and measuring their relative performances. In modern applications of machine learning, the models being considered are increasingly more expensive to evaluate and the…