Related papers: Testing by Betting while Borrowing and Bargaining
We propose a methodology to construct tests for the null hypothesis that the pricing errors of a panel of asset returns are jointly equal to zero in a linear factor asset pricing model -- that is, the null of "zero alpha". We consider, as a…
The established language for statistical testing --- significance levels, power, and p-values --- is overly complicated and deceptively conclusive. Even teachers of statistics and scientists who use statistics misinterpret the results of…
We provide practical, efficient, and nonparametric methods for auditing the fairness of deployed classification and regression models. Whereas previous work relies on a fixed-sample size, our methods are sequential and allow for the…
In this paper, we study a game with positive or plus infinite expectation and determine the optimal proportion of investment for maximizing the limit expectation of growth rate per attempt. With this objective, we introduce a new pricing…
The combination of the Bayesian game and learning has a rich history, with the idea of controlling a single agent in a system composed of multiple agents with unknown behaviors given a set of types, each specifying a possible behavior for…
Consider betting against a sequence of data in $[0,1]$, where one is allowed to make any bet that is fair if the data have a conditional mean $m_0 \in (0,1)$. Cover's universal portfolio algorithm delivers a worst-case regret of $O(\ln n)$…
We develop a framework for modelling and reasoning with uncertainty based on accept and reject statements about gambles. It generalises the frameworks found in the literature based on statements of acceptability, desirability, or…
Gambles are random variables that model possible changes in monetary wealth. Classic decision theory transforms money into utility through a utility function and defines the value of a gamble as the expectation value of utility changes.…
This paper empirically analyzes a dataset published by the European Banking Authority. Our main aim was to study how the Leverage Ratio is affected by adverse financial scenarios. This was be followed by observing how Leverage Ratio…
We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general…
In an epsilon-approximate Nash equilibrium, a player can gain at most epsilon in expectation by unilateral deviation. An epsilon well-supported approximate Nash equilibrium has the stronger requirement that every pure strategy used with…
The Health and Retirement Study is a longitudinal study of US adults enrolled at age 50 and older. We were interested in investigating the effect of a sudden large decline in wealth on the cognitive score of subjects. Our analysis was…
We elicit incomplete preferences over monetary gambles with subjective uncertainty. Subjects rank gambles, and these rankings are used to estimate preferences; payments are based on estimated preferences. About 40\% of subjects express…
No matter how much some gamblers occasionally win, as long as they continue to gamble, sooner or later they will lose more to the casino, which is the so-called long bet will lose. Our results demonstrate the counter-intuitive phenomenon,…
This paper develops a model-free sequential test for conditional independence. The proposed test allows researchers to analyze an incoming i.i.d. data stream with any arbitrary dependency structure, and safely conclude whether a feature is…
The beautiful theory of statistical gambling, started by Dubins and Savage (for subfair games) and continued by Kelly and Breiman (for superfair games) has mostly been studied under the unrealistic assumption that we live in a continuous…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
The multi-armed bandit is a concise model for the problem of iterated decision-making under uncertainty. In each round, a gambler must pull one of $K$ arms of a slot machine, without any foreknowledge of their payouts, except that they are…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
We provide investment advice for an individual who wishes to minimize her lifetime poverty, with a penalty for bankruptcy or ruin. We measure poverty via a non-negative, non-increasing function of (running) wealth. Thus, the lower wealth…