We study the profitability of optimal mean reversion trading strategies in the US equity market. Different from regular pair trading practice, we apply maximum likelihood method to construct the optimal static pairs trading portfolio that best fits the Ornstein-Uhlenbeck process, and rigorously estimate the parameters.…
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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
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48 results for “optimal sampling ratios”
Adapts RKHS methods to estimate density ratios with optimal error.
problem Estimating density ratios from limited data.
method Minimizes regularized Bregman divergence in RKHS, with Lepskii type parameter choice.
result Adaptive minimax optimal error rate for quadratic loss.
f-divergence estimation and two-sample homogeneity test under semiparametric density-ratio modelsstat.ML
A density ratio is defined by the ratio of two probability densities. We study the inference problem of density ratios and apply a semi-parametric density-ratio estimator to the two-sample homogeneity test. In the proposed test procedure, the f-divergence between two probability densities is estimated using a density-r…
Optimizes data collection for ranking and selection problems.
problem Identifying the best system from multiple solutions with limited data.
method Sequential sampling algorithm with MPB estimator and kernel ridge regression.
result OSAR achieves optimal sampling ratios almost surely in the limit.
The paper describes a method to infer the signal-to-noise ratio in portfolio optimization.
problem Estimating the signal-to-noise ratio in portfolio optimization problems.
method A statistic similar to the Sharpe Ratio Information Criterion is used for inference.
result The method works well for reasonable sample and asset universe sizes.
Bayesian optimization improves by focusing on outputs with the likelihood ratio method.
problem Improving Bayesian optimization by accurately estimating output importance.
method Importance-sampling theory and likelihood ratio for guiding search towards low objective function values.
result Likelihood-weighted acquisition functions outperform unweighted ones in various applications.
SPRT-TANDEM improves sequential classification accuracy with fewer samples.
problem Efficiently classifying sequential data with high accuracy and low sampling cost.
method Deep neural network-based SPRT algorithm that estimates log-likelihood ratio of two hypotheses.
result SPRT-TANDEM achieves statistically significantly better classification accuracy than other classifiers with fewer samples.
Efficiently selects top-m designs for various contexts using sequential sampling.
problem Optimizing selection of top-m designs across different contexts.
method Formulated as a stochastic dynamic programming problem, developed sequential sampling policy.
result Asymptotically optimal sampling ratios for efficient selection.
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We derive (1) an unbiased estimator adjusting for both sources of bias: noise fit and estimation error. We then show (2) how to use the adjust…
TS-RSR improves batch Bayesian Optimization by minimizing redundancy and focusing on high uncertainty points.
problem Efficient batch selection in Bayesian Optimization to reduce redundancy and improve performance.
method TS-RSR uses Thompson Sampling to minimize a regret to uncertainty ratio for batch selection.
result TS-RSR outperforms state-of-the-art batch BO algorithms on various test functions.
Sequential hypothesis testing is a desirable decision making strategy in any time sensitive scenario. Compared with fixed sample-size testing, sequential testing is capable of achieving identical probability of error requirements using less samples in average. For a binary detection problem, it is well known that for k…
Study ridge ensembles in proportional feature-to-sample size regime, proving risk equivalence and GCV consistency.
problem Characterizing and optimizing ridge ensembles in proportional feature-to-sample size regimes.
method Proportional asymptotics analysis, GCV for tuning, proving risk equivalence.
result Risk of optimal full ridgeless ensemble matches optimal ridge predictor's risk.
Estimates density ratio for two-sample comparison using tree models.
problem Comparing two distributions given i.i.d. observations.
method Additive tree models with balancing loss for density ratio estimation.
result Bayesian inference provides uncertainty quantification for density ratio.
The paper optimizes portfolios by selecting financial ratios via PCA for better value investment.
problem Embedding value investment in portfolio optimization models.
method Principal Component Analysis (PCA) to filter out dominant financial ratios, then applying portfolio optimization model with second-order stochastic dominance criteria.
result PCA-SPO(B) strategy outperforms other models in terms of downside deviation, CVaR, VaR, Sortino, Rachev, and STARR ratios.
Deep RL optimizes dynamic portfolio weights in China's stock market.
problem Traditional portfolio optimization methods struggle with dynamic asset weight adjustments.
method Developed a deep reinforcement learning framework with novel reward functions and random sampling.
result Model outperforms traditional methods in portfolio optimization and risk mitigation.
Proposes a new framework to optimize portfolios with reduced estimation errors.
problem Estimation errors in multiperiod mean-variance portfolio optimization.
method Reference-regulated multiperiod mean-variance (RRMV) framework.
result Improves portfolio stability and out-of-sample Sharpe ratios.
Double descent in portfolio optimization shows improved performance with complexity, then declines, due to overfitting.
problem Improving portfolio optimization performance with model complexity.
method Investigates the relationship between model complexity and out-of-sample performance in mean-variance portfolio optimization.
result Performance of low-dimensional models initially improves with complexity but declines due to overfitting. High-dimensional models show double ascent Sharpe ratio curve.
wd1 improves reasoning in dLLMs by optimizing policies without policy ratios.
problem Improving reasoning in diffusion-based large language models through RL.
method wd1: ratio-free policy optimization using weighted log-likelihood.
result wd1 outperforms diffusion-based GRPO while requiring lower computational cost.
Study optimizes best-arm identification with minimax and Bayes strategies.
problem Efficiently identifying the best arm in fixed-budget scenarios.
method Adaptive procedure with two stages: pilot phase and minimax game.
result Single strategy is asymptotically minimax and Bayes optimal.
Stable and consistent model alignment for language models without assuming human preference models.
problem Lack of statistical consistency in existing alignment methods.
method Relative density ratio optimization between preferred and mixture of preferred and non-preferred data distributions.
result Our approach achieves statistical consistency and stability, providing tighter convergence guarantees.
Optimally tackles covariate shift in RKHS-based nonparametric regression.
problem Covariate shift in nonparametric regression over RKHS.
method Two families of covariate shift problems defined using likelihood ratios. Minimax rate-optimal estimators for KRR and reweighted KRR.
result KRR is minimax rate-optimal and strictly sub-optimal compared to naive estimator under covariate shift.
Bayesian optimization improves efficiency with semi-supervised learning.
problem Efficiently find global optima of expensive functions.
method Density ratio estimation combined with semi-supervised learning.
result Improved accuracy in identifying global optima with unlabeled data.
Reparameterization (RP) and likelihood ratio (LR) gradient estimators are used throughout machine and reinforcement learning; however, they are usually explained as simple mathematical tricks without providing any insight into their nature. We use a first principles approach to explain LR and RP, and show a connection …
The paper examines how ESG constraints affect portfolio optimization in large datasets.
problem Investment optimization with ESG constraints in large portfolios.
method Asymptotic analysis of out-of-sample Sharpe ratio, regularization matrix estimation, and adaptive portfolio selection.
result The proposed adaptive ESG-constrained portfolio yields a high out-of-sample Sharpe ratio while meeting ESG requirements.
Improved predictive posterior density estimation through optimized importance sampling.
problem Low signal-to-noise ratio in posterior predictive densities.
method Optimized importance sampling using a test-time variational proxy.
result Significantly improved estimates of predictive posterior densities.
A framework schedules hyperparameters for model-based reinforcement learning, improving performance.
problem Inadequate scheduling of hyperparameters in model-based reinforcement learning.
method Theoretical analysis and AutoMBPO framework to automatically schedule real data ratio and other hyperparameters.
result Training with hyperparameters scheduled by AutoMBPO significantly improves performance.
Optimal transport method rejects new classes and adjusts class ratios for open set domain adaptation.
problem Handling new classes in target domains with distribution shifts.
method Two-step optimal transport approach: reject new classes first, then adjust class ratios.
result Outperforms state-of-the-art methods in open set domain adaptation.
Efficient method for tensor linear form inference with noisy incomplete data.
problem Statistical inference of tensor linear forms with incomplete and noisy observations.
method Initial estimate + debiasing + one-step power iteration.
result Optimal uncertainty quantification and statistical-to-computational gaps examined.
Output-Weighted Optimal Sampling for Bayesian Experimental Design and Uncertainty Quantificationstat.ML
Optimizes sampling for faster convergence in Bayesian experimental design and uncertainty quantification.
problem Efficiently selecting samples for faster convergence in Bayesian experimental design and uncertainty quantification.
method Output-weighted acquisition functions leveraging likelihood ratio to guide sampling towards relevant regions.
result Superiority of the proposed method in uncertainty quantification and rare event identification.
Proposes a new model to maximize out-of-sample Sharpe ratios by forecasting tangency portfolios.
problem Maximizing Sharpe ratios when returns and covariances are not stationary.
method Forecast the tangency portfolio using vector autoregressions and invest in the minimum Euclidean distance portfolio.
result Empirically validated superior out-of-sample Sharpe ratios.
A new method optimizes diffusion models with recursive likelihood ratios.
problem Efficiently aligning pre-trained diffusion models for specific applications.
method Recursive Likelihood Ratio (RLR) optimizer for Half-Order (HO) fine-tuning.
result The RLR method achieves unbiased and lower-variance gradients, improving model performance.
New method corrects bias in density ratio estimation for missing data.
problem Missing data bias in density ratio estimation.
method Adapted KLIEP method (M-KLIEP) for MNAR data.
result M-KLIEP restores consistency and minimax optimality.
Filtering out unrealistic images from trained generative adversarial networks (GANs) has attracted considerable attention recently. Two density ratio based subsampling methods---Discriminator Rejection Sampling (DRS) and Metropolis-Hastings GAN (MH-GAN)---were recently proposed, and their effectiveness in improving GAN…
We discuss - in what is intended to be a pedagogical fashion - generalized "mean-to-risk" ratios for portfolio optimization. The Sharpe ratio is only one example of such generalized "mean-to-risk" ratios. Another example is what we term the Fano ratio (which, unlike the Sharpe ratio, is independent of the time horizon)…
Various problems in Engineering and Statistics require the computation of the likelihood ratio function of two probability densities. In classical approaches the two densities are assumed known or to belong to some known parametric family. In a data-driven version we replace this requirement with the availability of da…
Machine learning models, especially based on deep architectures are used in everyday applications ranging from self driving cars to medical diagnostics. It has been shown that such models are dangerously susceptible to adversarial samples, indistinguishable from real samples to human eye, adversarial samples lead to in…
The paper proposes an efficient nested simulation design using likelihood ratio method.
problem Designing nested simulations with fixed outer scenarios and minimizing simulation effort.
method Proposes a bi-level optimization problem to decide inner replications and pooling strategies.
result Optimized design achieves $\cO(Γ^{-1})$ mean squared error of estimators.
A new metric evaluates generative models by comparing real and generated samples.
problem Evaluating the quality of generative models.
method Relative Density Ratio (RDR) function, optimization on variational form of φ-divergence.
result The RDR function provides a clear, interpretable, and numerically stable evaluation metric.
New method uses geometric mean to avoid non-collapsibility in case-control studies.
problem Non-collapsibility of odds ratio under outcome-dependent sampling.
method Proposes geometric mean aggregation to avoid non-collapsibility and provides estimation and inference methods.
result Geometric odds ratio is collapsible under outcome-dependent sampling.
Extends likelihood ratio exponential families to analyze various optimization methods.
problem Analyzing optimization methods like rate-distortion and information bottleneck.
method Linking geometric mixture paths to exponential families and using hypothesis testing.
result Provides a common mathematical framework for understanding these methods.
Optimal learning for parametric prophet inequalities with exponential-type distributions
problem Learning in prophet inequalities with unknown parameters
method Confidence-based dynamic-programming policy
result Achieves optimal asymptotic competitive ratio using online observations
Improved GAN training stability through clipping and reweighting.
problem Inconsistent GAN training leading to inferior performance.
method Proposes a variational GAN framework with probability ratio clipping and sample reweighting.
result Significantly improved performance across various GAN tasks.
Nonparametric Thompson Sampling achieves optimal regret for risk-averse bandits with sub-Gaussian rewards.
problem Optimizing risk-averse bandit problems with sub-Gaussian rewards.
method Anchor-free nonparametric Thompson Sampling algorithm .
result Achieves regret matching the instance-dependent lower bound to leading order in .
Improves diffusion models by controlling total variance and signal-to-noise-ratio.
problem Long sampling time in diffusion models.
method Total-Variance/Signal-to-Noise-Ratio (TV/SNR) disentangled framework.
result Improves generation performance by controlling TV and SNR independently.
New -divergence loss function improves neural density ratio estimation.
problem Optimization challenges in existing DRE methods, especially overfitting and high sample requirements.
method Derived -divergence loss function (-Div) for neural density ratio estimation.
result The -divergence loss function (-Div) offers stable and effective optimization for DRE.
End-to-end neural network optimizes portfolios by directly learning allocations from features.
problem Error maximization in two-step portfolio optimization.
method Single feed-forward neural network combining prediction and optimization.
result Model-based end-to-end framework achieves Sharpe ratio of 1.16.
Study the impact of overfitting on linear predictive models' performance.
problem Overfitting reduces the out-of-sample performance of linear predictive trading strategies.
method Computed in- and out-of-sample means and variances of PnLs to derive replication ratios.
result Replication ratio diminishes for complex strategies with many assets.
Deep RL approach improves MIS for complex environments.
problem Improving off-policy evaluation for complex environments.
method Uses successor representation from deep RL to decouple reward and dynamics.
result Empirically stable and applicable to high-dimensional domains.