Related papers: Betting Against (Bad) Beta
Developing efficient sequential bidding strategies for repeated auctions is an important practical challenge in various marketing tasks. In this setting, the bidding agent obtains information, on both the value of the item at sale and the…
We introduce and study the problem of detecting whether an agent is updating their prior beliefs given new evidence in an optimal way that is Bayesian, or whether they are biased towards their own prior. In our model, biased agents form…
Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The present analysis extends this research in a number of ways.…
It is well known that reinforcement learning can be cast as inference in an appropriate probabilistic model. However, this commonly involves introducing a distribution over agent trajectories with probabilities proportional to exponentiated…
We present a reactive beta model that includes the leverage effect to allow hedge fund managers to target a near-zero beta for market neutral strategies. For this purpose, we derive a metric of correlation with leverage effect to identify…
Natural capital accounting is important to efforts that attempt to measure the value of nature to decide on how best to trade-off natural resource productive use and conservation. Much work on measuring reciprocal physical stocks and flows…
A common approach to analyze a covariate-sample count matrix, an element of which represents how many times a covariate appears in a sample, is to factorize it under the Poisson likelihood. We show its limitation in capturing the tendency…
Every interaction of a living organism with its environment involves the placement of a bet. Armed with partial knowledge about a stochastic world, the organism must decide its next step or near-term strategy, an act that implicitly or…
We study the optimal portfolio selection problem under relative performance criteria in the market model with random coefficients from the perspective of many players game theory. We consider five random coefficients which consist of three…
Consider a game where Alice generates an integer and Bob wins if he can factor that integer. Traditional game theory tells us that Bob will always win this game even though in practice Alice will win given our usual assumptions about the…
Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by…
Sensory analysis is an important area that the food industry can use to innovate and improve its products. This study involves a sample of individuals who can be trained or not to assess a product using a hedonic scale or notes, where the…
We propose an extended public goods interaction model to study the evolution of cooperation in heterogeneous population. The investors are arranged on the well known scale-free type network, the Barab\'{a}si-Albert model. Each investor is…
We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…
While traditional economics assumes that humans are fully rational agents who always maximize their expected utility, in practice, we constantly observe apparently irrational behavior. One explanation is that people have limited…
A common task in physics and astronomy is studying which of the competing hypotheses the data prefer. This is usually done by computing the Bayes factor between the two hypotheses, and either interpreting it in terms of the posterior odds…
Approving and assessing new drugs is complex because multiple criteria must be considered simultaneously. A common approach is benefit-risk analysis, often conducted within a Bayesian framework to account for uncertainty and combine data…
Exposure bias is a well-known issue in recommender systems where items and suppliers are not equally represented in the recommendation results. This is especially problematic when bias is amplified over time as a few popular items are…
Simultaneous ascending auctions present agents with the exposure problem: bidding to acquire a bundle risks the possibility of obtaining an undesired subset of the goods. Auction theory provides little guidance for dealing with this…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…