Related papers: Challenges in Statistically Rejecting the Perfect …
The ``impossibility theorem'' -- which is considered foundational in algorithmic fairness literature -- asserts that there must be trade-offs between common notions of fairness and performance when fitting statistical models, except in two…
We consider the problem of allocating indivisible goods in a way that is fair, using one of the leading market mechanisms in economics: the competitive equilibrium from equal incomes. Focusing on two major classes of valuations, namely…
Motivated by electricity markets, this paper studies the impact of forward contracting in situations where firms have capacity constraints and heterogeneous production lead times. We consider a model with two types of firms - leaders and…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
Empirical science needs to be based on facts and claims that can be reproduced. This calls for replicating the studies that proclaim the claims, but practice in most fields still fails to implement this idea. When such studies emerged in…
Neural networks can fail when the data contains spurious correlations. To understand this phenomenon, researchers have proposed numerous spurious correlations benchmarks upon which to evaluate mitigation methods. However, we observe that…
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be…
Dynamic benchmarks interweave model fitting and data collection in an attempt to mitigate the limitations of static benchmarks. In contrast to an extensive theoretical and empirical study of the static setting, the dynamic counterpart lags…
Diagnostic tests are almost never perfect. Studies quantifying their performance use knowledge of the true health status, measured with a reference diagnostic test. Researchers commonly assume that the reference test is perfect, which is…
Comparing alternatives in pairs is a very well known technique of ranking creation. The answer to how reliable and trustworthy ranking is depends on the inconsistency of the data from which it was created. There are many indices used for…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
We study equilibria of markets with $m$ heterogeneous indivisible goods and $n$ consumers with combinatorial preferences. It is well known that a competitive equilibrium is not guaranteed to exist when valuations are not gross substitutes.…
This paper considers the problem of testing whether there exists a solution satisfying certain non-negativity constraints to a linear system of equations. Importantly and in contrast to some prior work, we allow all parameters in the system…
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is…
This paper proposes a test for the joint hypothesis of correct dynamic specification and no omitted latent factors for the Quantile Autoregression. If the composite null is rejected we proceed to disentangle the cause of rejection, i.e.,…
The comparison of a parameter in $k$ populations is a classical problem in statistics. Testing for the equality of means or variances are typical examples. Most procedures designed to deal with this problem assume that $k$ is fixed and that…
Economic theory implies strong limitations on what types of consumption behavior are considered rational. Rationality implies that the Slutsky matrix, which captures the substitution effects of compensated price changes on demand for…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
In the framework of semiparametric distribution regression, we consider the problem of comparing the conditional distribution functions corresponding to two samples. In contrast to testing for exact equality, we are interested in the (null)…
A formal likelihood ratio hypothesis test for the validity of a parametric regression function is proposed, using a large-dimensional, nonparametric double cone alternative. For example, the test against a constant function uses the…