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Decisions based partly or solely on predictions from probabilistic models may be sensitive to model misspecification. Statisticians are taught from an early stage that "all models are wrong", but little formal guidance exists on how to…
Empirical researchers and decision-makers spanning various domains frequently seek profound insights into the long-term impacts of interventions. While the significance of long-term outcomes is undeniable, an overemphasis on them may…
We introduce simple cost and risk proxy metrics that can be attached to Treasury issuance strategy to complement analysis of the resulting portfolio weighted-average maturity (WAM). These metrics are based on mapping issuance fractions to…
We consider a robust approach to address uncertainty in model parameters in Markov Decision Processes (MDPs), which are widely used to model dynamic optimization in many applications. Most prior works consider the case where the uncertainty…
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…
Algorithmic fairness involves expressing notions such as equity, or reasonable treatment, as quantifiable measures that a machine learning algorithm can optimise. Most work in the literature to date has focused on classification problems…
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…
All proper scoring rules incentivize an expert to predict \emph{accurately} (report their true estimate), but not all proper scoring rules equally incentivize \emph{precision}. Rather than treating the expert's belief as exogenously given,…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
High-dimensional predictive models, those with more measurements than observations, require regularization to be well defined, perform well empirically, and possess theoretical guarantees. The amount of regularization, often determined by…
The widespread use of machine learning in credit scoring has brought significant advancements in risk assessment and decision-making. However, it has also raised concerns about potential biases, discrimination, and lack of transparency in…
We study the problem of deriving policies, or rules, that when enacted on a complex system, cause a desired outcome. Absent the ability to perform controlled experiments, such rules have to be inferred from past observations of the system's…
We study short-horizon forecasting in financial time series under strict causal constraints, treating the market as a non-stationary stochastic system in which any predictive observable must be computable online from information available…
Policy learning utilizing observational data is pivotal across various domains, with the objective of learning the optimal treatment assignment policy while adhering to specific constraints such as fairness, budget, and simplicity. This…
Fisher's fiducial argument is widely viewed as a failed version of Neyman's theory of confidence limits. But Fisher's goal -- Bayesian-like probabilistic uncertainty quantification without priors -- was more ambitious than Neyman's, and…
In this work, we address the problem of determining reliable policies in reinforcement learning (RL), with a focus on optimization under uncertainty and the need for performance guarantees. While classical RL algorithms aim at maximizing…
Safe Policy Improvement (SPI) aims at provable guarantees that a learned policy is at least approximately as good as a given baseline policy. Building on SPI with Soft Baseline Bootstrapping (Soft-SPIBB) by Nadjahi et al., we identify…
In this paper, we discuss the deterministic policy gradient using the Actor-Critic methods based on the linear compatible advantage function approximator, where the input spaces are continuous. When the policy is restricted by hard…
Personalized pricing is a business strategy to charge different prices to individual consumers based on their characteristics and behaviors. It has become common practice in many industries nowadays due to the availability of a growing…