Related papers: Betting Against (Bad) Beta
We consider a pair of traders in a market where the information available to the second trader is a strict subset of the information available to the first trader. The traders make prices based on the information available concerning a…
This paper considers the multi-armed bandit (MAB) problem and provides a new best-of-both-worlds (BOBW) algorithm that works nearly optimally in both stochastic and adversarial settings. In stochastic settings, some existing BOBW algorithms…
We study the classic problem of prediction with expert advice under bandit feedback. Our model assumes that one action, corresponding to the learner's abstention from play, has no reward or loss on every trial. We propose the CBA algorithm,…
Multi-armed bandit problems are considered as a paradigm of the trade-off between exploring the environment to find profitable actions and exploiting what is already known. In the stationary case, the distributions of the rewards do not…
This paper extends the utility maximization literature by combining partial information and (robust) regulatory constraints. Partial information is characterized by the fact that the stock price itself is observable by the optimizing…
In light of the power problems of statistical tests and undisciplined use of alpha-based statistics to compare models, this paper proposes a unified set of distance-based performance metrics, derived as the square root of the sum of squared…
The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…
We investigate and extend the result that an alpha-weight angle from unconstrained quadratic portfolio optimisations has an upper bound dependent on the condition number of the covariance matrix. This is known to imply that better…
A risk-averse agent hedges her exposure to a non-tradable risk factor $U$ using a correlated traded asset $S$ and accounts for the impact of her trades on both factors. The effect of the agent's trades on $U$ is referred to as cross-impact.…
Plurality and approval voting are two well-known voting systems with different strengths and weaknesses. In this paper we consider a new voting system we call beta(k) which allows voters to select a single first-choice candidate and approve…
This article gives a formula for associated Stirling numbers of the second kind based on the moment of a sum of independent random variables having a beta distribution. From this formula we deduce, using probabilistic approaches, lower and…
This paper describes algorithms for nonnegative matrix factorization (NMF) with the beta-divergence (beta-NMF). The beta-divergence is a family of cost functions parametrized by a single shape parameter beta that takes the Euclidean…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
Multi-round competitions often double or triple the points awarded in the final round, calling it a bonus, to maximize spectators' excitement. In a two-player competition with $n$ rounds, we aim to derive the optimal bonus size to maximize…
Regression factor score predictors have the maximum factor score determinacy, i.e., the maximum correlation with the corresponding factor, but they do not have the same inter-correlations as the factors. As it might be useful to compute…
Traders buy and sell financial instruments in hopes of making profit, and brokers are responsible for the transaction. There are several hypotheses and conspiracy theories arguing that in some situations, brokers want their traders to lose…
The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess…
This paper builds on recent research that focuses on regression modeling of continuous bounded data, such as proportions measured on a continuous scale. Specifically, it deals with beta regression models with mixed effects from a Bayesian…
We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…