Related papers: Quantitative portfolio selection: using density fo…
The measure of portfolio risk is an important input of the Markowitz framework. In this study, we explored various methods to obtain a robust covariance estimators that are less susceptible to financial data noise. We evaluated the…
Stability selection (Meinshausen and Buhlmann, 2010) makes any feature selection method more stable by returning only those features that are consistently selected across many subsamples. We prove (in what is, to our knowledge, the first…
Density functional theory calculations use a significant fraction of current supercomputing time. The resources required scale with the problem size, internal workings of the code and the number of iterations to convergence, the latter…
We develop Bayesian models for density regression with emphasis on discrete outcomes. The problem of density regression is approached by considering methods for multivariate density estimation of mixed scale variables, and obtaining…
Many policies hinge on a continuous variable exceeding a threshold, prompting strategic behavior by agents to stay on the favorable side. This creates density discontinuities at cutoffs, evident in contexts like taxable income, corporate…
In his famous paper, Markowitz (1952) derived the dependence of portfolio random returns on the random returns of its securities. This result allowed Markowitz to obtain his famous expression for portfolio variance. We show that Markowitz's…
Tree-based priors for probability distributions are usually specified using a predetermined, data-independent collection of candidate recursive partitions of the sample space. To characterize an unknown target density in detail over the…
Signal processing makes extensive use of point estimators and accompanying error bounds. These work well up until the likelihood function has two or more high peaks. When it is important for an estimator to remain reliable, it becomes…
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the…
We investigate a voting scenario with two groups of agents whose preferences depend on a ground truth that cannot be directly observed. The majority's preferences align with the ground truth, while the minorities disagree. Focusing on…
Uncertainty-quantification methods are applied to estimate the confidence of deep-neural-networks classifiers over their predictions. However, most widely used methods are known to be overconfident. We address this problem by developing an…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
Asset allocation is an investment strategy that aims to balance risk and reward by constantly redistributing the portfolio's assets according to certain goals, risk tolerance, and investment horizon. Unfortunately, there is no simple…
The signal-noise ratio of a portfolio of p assets, its expected return divided by its risk, is couched as an estimation problem on the sphere. When the portfolio is built using noisy data, the expected value of the signal-noise ratio is…
Long-term reservoir management often uses bounds on the reservoir level, between which the operator can work. However, these bounds are not always kept up-to-date with the latest knowledge about the reservoir drainage area, and thus become…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic differential equation with Poisson jumps. Both the maximum principle…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new…
In decision-dependent games, multiple players optimize their decisions under a data distribution that shifts with their joint actions, creating complex dynamics in applications like market pricing. A practical consequence of these dynamics…