Related papers: Turnover-Adjusted Information Ratio
External information borrowing is often considered in order to improve a clinical trial's efficiency. The Bayesian approach borrows such external information by specifying an informative prior distribution. A potential issue with this…
Obtaining labels can be costly and time-consuming. Active learning allows a learning algorithm to intelligently query samples to be labeled for efficient learning. Fisher information ratio (FIR) has been used as an objective for selecting…
Bayesian clinical trials can benefit of available historical information through the elicitation of informative prior distributions. Concerns are however often raised about the potential for prior-data conflict and the impact of Bayes test…
Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…
The aim of this paper is to investigate the impact of rebalancing frequency and transaction costs on the log-optimal portfolio, which is a portfolio that maximizes the expected logarithmic growth rate of an investor's wealth. We prove that…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
Successful quantitative investment usually relies on precise predictions of the future movement of the stock price. Recently, machine learning based solutions have shown their capacity to give more accurate stock prediction and become…
A range of approaches have been proposed for estimating the accuracy or robustness of the measured performance of IR methods. One is to use bootstrapping of test sets, which, as we confirm, provides an estimate of variation in performance.…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
The principle of minimum Fisher information states that in the set of acceptable probability distributions characterizing the given system, it is best done by the one that minimizes the corresponding Fisher information. This principle can…
In this paper we take a look at a simple portfolio insurance strategy using a protective put and computationally derive the investor's governing utility structures underlying such a strategy under alternative market scenarios. Investor…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
The question addressed in this paper is the performance of the optimal strategy, and the impact of partial information. The setting we consider is that of a stochastic asset price model where the trend follows an unobservable…
We study a two-level system controlled in a discrete feedback loop, modeling both the system and the controller in terms of stochastic Markov processes. We find that the extracted work, which is known to be bounded from above by the mutual…
Today, intelligent user interfaces on the web often come in form of recommendation services tailoring content to individual users. Recommendation of web content such as news articles often requires a certain amount of explicit ratings to…
Performance of adaptive control policies is assessed through the regret with respect to the optimal regulator, which reflects the increase in the operating cost due to uncertainty about the dynamics parameters. However, available results in…
A decision-maker periodically acquires information about a changing state, controlling both the timing and content of updates. I characterize optimal policies using a decomposition of the dynamic problem into optimal stopping and static…
Integrated information theory (IIT) is a theoretical framework that provides a quantitative measure to estimate when a physical system is conscious, its degree of consciousness, and the complexity of the qualia space that the system is…
A policymaker discloses public information to interacting agents who also acquire costly private information. More precise public information reduces the precision and cost of acquired private information. Considering this effect, what…