Related papers: Preference Robust Generalized Shortfall Risk Measu…
The application of rough set theory in incomplete information systems is a key problem in practice since missing values almost always occur in knowledge acquisition due to the error of data measuring, the limitation of data collection, or…
Causal or unconfounded descriptive comparisons between multiple groups are common in observational studies. Motivated from a racial disparity study in health services research, we propose a unified propensity score weighting framework, the…
Propensity score weighting is a common method for estimating treatment effects with survey data. The method is applied to minimize confounding using measured covariates that are often different between individuals in treatment and control.…
This paper introduces a likelihood ratio (LR)-type test that possesses the robustness properties of \(C(\alpha)\)-type procedures in an extremum estimation setting. The test statistic is constructed by applying separate adjustments to the…
Given an incomplete ratings data over a set of users and items, the preference completion problem aims to estimate a personalized total preference order over a subset of the items. In practical settings, a ranked list of top-$k$ items from…
The inverse probability weighting approach is popular for evaluating treatment effects in observational studies, but extreme propensity scores could bias the estimator and induce excessive variance. Recently, the overlap weighting approach…
Existing approaches to sample size calculations for developing clinical prediction models have focused on ensuring that the expected value of a chosen performance measure meets a pre-specified target. For example, to limit…
Safe reinforcement learning (RL) is a standard paradigm for safety-critical decision making. However, real-world safety constraints can be complex, subjective, and even hard to explicitly specify. Existing works on constraint inference rely…
Although quantile regression to calculate risk measures has been widely established in the financial literature, when considering data observed at mixed--frequency, an extension is needed. In this paper, a model is suggested built on a…
Empirical research in economics increasingly relies on restricted-access data held by multiple firms or agencies, making it impossible to construct the estimator of interest on the pooled sample. At the same time, heavy-tailed distributions…
This paper proposes a novel class of generalized Expected-Shortfall (ES) norms constructed via distortion risk measures, establishing a unified analytical framework for risk quantification. The proposed norms extend conventional ES…
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $\phi$-divergences. The risk measures are allowed to be non-linear in probabilities, are represented by Choquet…
Although the CML (Capital Market Line), the Intertemporal-CAPM, the CAPM/SML (Security Market Line) and the Intertemporal Arbitrage Pricing Theory (IAPT) are widely used in portfolio management, valuation and capital markets financing;…
We study Cressie Read power divergence (CRPD) estimation for moment based models, focusing on finite sample behavior. While generalized empirical likelihood estimators, dual to CRPD, are known to outperform generalized method of moments…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Uncertainty reduction is vital for improving system reliability and reducing risks. To identify the best target for uncertainty reduction, uncertainty importance measure is commonly used to prioritize the significance of input variable…
In practical optimization problems, we typically model uncertainty as a random variable though its true probability distribution is unobservable to the decision maker. Historical data provides some information of this distribution that we…
This paper discusses an alternative explanation for the empirical findings contradicting the positive relationship between risk (variance) and reward (expected return). We show that these contradicting results might be due to the false…
Survival outcomes are common in comparative effectiveness studies and require unique handling because they are usually incompletely observed due to right-censoring. A ``once for all'' approach for causal inference with survival outcomes…
We discuss the coherence properties of Expected Shortfall (ES) as a financial risk measure. This statistic arises in a natural way from the estimation of the "average of the 100p % worst losses" in a sample of returns to a portfolio. Here p…