Related papers: A general randomized test for Alpha
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
Randomization tests are based on a re-randomization of existing data to gain data-dependent critical values that lead to exact hypothesis tests under special circumstances. However, it is not always possible to re-randomize data in…
We are concerned with testing replicability hypotheses for many endpoints simultaneously. This constitutes a multiple test problem with composite null hypotheses. Traditional $p$-values, which are computed under least favourable parameter…
Bayesian linear mixed-effects models and Bayesian ANOVA are increasingly being used in the cognitive sciences to perform null hypothesis tests, where a null hypothesis that an effect is zero is compared with an alternative hypothesis that…
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…
Consider a one-way analysis of covariance model. Suppose that the parameter of interest theta is a specified linear contrast of the expected responses, for a given value of the covariate. Also suppose that the inference of interest is a…
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the…
Standard tests of the "no-treatment-effect" hypothesis for a comparative experiment include permutation tests, the Wilcoxon rank sum test, two-sample $t$ tests, and Fisher-type randomization tests. Practitioners are aware that these…
We consider a homogeneous system of linear equations of the form $A_\alpha^{\otimes N} {\bf x} = 0$ arising from the distinguishability of two quantum operations by $N$ uses in parallel, where the coefficient matrix $A_\alpha$ depends on a…
A major bottleneck in characterizing the failure modes of generative AI systems is the cost and time of annotation and evaluation. Consequently, adaptive testing paradigms have gained popularity, where one opportunistically decides which…
A different general philosophy, to be called Full Randomness (FR), for the analysis of random effects models is presented, involving a notion of reducing or preferably eliminating fixed effects, at least formally. For example, under FR…
Testing for the significance of a subset of regression coefficients in a linear model, a staple of statistical analysis, goes back at least to the work of Fisher who introduced the analysis of variance (ANOVA). We study this problem under…
We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular, we investigate the question of how to conduct finite…
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studies, we do not require contingent claims to be upper…
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed option prices---it provides a perfect fit---the essential…
The general method is proposed for constructing a family of martingale measures for a wide class of evolution of risky assets. The sufficient conditions are formulated for the evolution of risky assets under which the family of equivalent…
Adaptive experiments use preliminary analyses of the data to inform further course of action and are commonly used in many disciplines including medical and social sciences. Because the null hypothesis and experimental design are…
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive…
A product relative error estimation method for single index regression model is proposed as an alternative to absolute error methods, such as the least square estimation and the least absolute deviation estimation. It is scale invariant for…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…