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We consider prediction with expert advice for strongly convex and bounded losses, and investigate trade-offs between regret and "variance" (i.e., squared difference of learner's predictions and best expert predictions). With $K$ experts,…
Returns distributions are heavy-tailed across asset classes. In this note, I examine the implications of this well-known stylized fact for the joint statistics of performance (absolute return) and Sharpe ratio (risk-adjusted return). Using…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper…
Prescriptive business process monitoring provides decision support to process managers on when and how to adapt an ongoing business process to prevent or mitigate an undesired process outcome. We focus on the problem of automatically…
We study U.S. Treasury yield curve forecasting under distributional uncertainty and recast forecasting as an operations research and managerial decision problem. Rather than minimizing average forecast error, the forecaster selects a…
The standard approach for constructing a Mean-Variance portfolio involves estimating parameters for the model using collected samples. However, since the distribution of future data may not resemble that of the training set, the…
We study fairness-accuracy tradeoffs when a single predictive model must serve multiple demographic groups. A useful tool for understanding this tradeoff is the fairness-accuracy (FA) Pareto frontier, which characterizes the set of models…
We analyze sources of error in prediction market forecasts in order to bound the difference between a security's price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker…
Forecasting is an indispensable element of operational research (OR) and an important aid to planning. The accurate estimation of the forecast uncertainty facilitates several operations management activities, predominantly in supporting…
This paper introduces a novel meta-learning algorithm for time series forecast model performance prediction. We model the forecast error as a function of time series features calculated from the historical time series with an efficient…
This article aims to propose and apply a machine learning method to analyze the direction of returns from Exchange Traded Funds (ETFs) using the historical return data of its components, helping to make investment strategy decisions through…
Surveys show that the mean absolute percentage error (MAPE) is the most widely used measure of forecast accuracy in businesses and organizations. It is however, biased: When used to select among competing prediction methods it…
This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model for which the market is assumed to be driven. This measure allows comparing products valued with different…
The Total Portfolio Approach and Strategic Asset Allocation are widely viewed as competing frameworks for institutional portfolio management. We argue they differ in a single governance parameter: the tracking error constraint. Using U.S.…
We explore the striking mathematical connections that exist between market scoring rules, cost function based prediction markets, and no-regret learning. We show that any cost function based prediction market can be interpreted as an…
While the estimation of risk is an important question in the daily business of banking and insurance, many existing plug-in estimation procedures suffer from an unnecessary bias. This often leads to the underestimation of risk and…
We use multi-class machine learning classifiers to identify the stocks that outperform or underperform other stocks. The resulting long-short portfolios achieve annual Sharpe ratios of 1.67 (value-weighted) and 3.35 (equal-weighted), with…
We develop an edge-assisted object recognition system with the aim of studying the system-level trade-offs between end-to-end latency and object recognition accuracy. We focus on developing techniques that optimize the transmission delay of…
Group distributionally robust optimization, which aims to improve robust accuracies -- worst-group and unbiased accuracies -- is a prominent algorithm used to mitigate spurious correlations and address dataset bias. Although existing…
Improving the fairness of machine learning models is a nuanced task that requires decision makers to reason about multiple, conflicting criteria. The majority of fair machine learning methods transform the error-fairness trade-off into a…