相关论文: Statistical foundations for assessing the differen…

The Gini score is a popular tool in statistical modeling and machine learning for model validation and model selection. It is a purely rank based score that allows one to assess risk rankings. The Gini score for statistical modeling has…

I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…

We introduce a directed, weighted random graph model, where the edge-weights are independent and beta-distributed with parameters depending on their endpoints. We will show that the row- and column-sums of the transformed edge-weight matrix…

We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…

Frazzini and Pedersen (2014) Betting Against Beta (BAB) factor is based on the idea that high beta assets trade at a premium and low beta assets trade at a discount due to investor funding constraints. However, as argued by Campbell and…

We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are)…

Behavioural economics provides labels for patterns in human economic behaviour. Probability weighting is one such label. It expresses a mismatch between probabilities used in a formal model of a decision (i.e. model parameters) and…

A novel approach for comparing quality attributes of different products when there is considerable product-related variability is proposed. In such a case, the whole range of possible realizations must be considered. Looking, for example,…

We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market conditions to the present one. The…

Consider a linear regression model with regression parameter beta and normally distributed errors. Suppose that the parameter of interest is theta = a^T beta where a is a specified vector. Define the parameter tau = c^T beta - t where c and…

In this paper, we build on using the class of f-divergence induced coherent risk measures for portfolio optimization and derive its necessary optimality conditions formulated in CAPM format. We derive a new f-Beta similar to the Standard…

Class-level evaluation can conceal substantial performance disparities across subconcepts within the same class, causing models that perform well on average to fail on specific subpopulations. Prior work has shown that common evaluation…

A statistical estimation model with qualitative input provides a mechanism to fuse human intuition in the form of qualitative information into a statistical model. We investigate the statistical properties of this model and devise a…

Statistical inference in high-dimensional settings is challenging when standard unregularized methods are employed. In this work, we focus on the case of multiple correlated proportions for which we develop a Bayesian inference framework.…

In this paper we consider an extension of the beta regression model proposed by Ferrari and Cribari-Neto (2004). We extend their model in two different ways, first, we let the regression structure be nonlinear, second, we allow a regression…

Beta regression is often used to model the relationship between a dependent variable that assumes values on the open interval (0,1) and a set of predictor variables. An important challenge in beta regression is to find residuals whose…

In actuarial practice the dependency between contract limitations (deductibles, copayments) and health care expenditures are measured by the application of the Monte Carlo simulation technique. We propose, for the same goal, an alternative…

We compute the dependence on the classical action "gauge" parameters of the beta functions of the standard topological sigma model in flat space. We thus show that their value is a "gauge" artifact indeed. We also show that previously…

The paper covers the new model of wage distribution in typical group of people. The model provides the opportunity to reparameterize applicable income distribution model: Pareto, logarithmically normal, logarithmically logistic, Dagum etc.…

Probabilistic models analyze data by relying on a set of assumptions. Data that exhibit deviations from these assumptions can undermine inference and prediction quality. Robust models offer protection against mismatch between a model's…