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.
The paper develops a method to achieve fairness in predictions using Wasserstein barycenters.
problem Learning a fair real-valued function independent of sensitive attributes.
method Establishing a connection between fair regression and optimal transport theory, deriving a close form expression for the optimal fair predictor as the Wasserstein barycenter of sensitive groups.
result The optimal fair predictor's distribution is the Wasserstein barycenter of sensitive groups' distributions, offering an intuitive interpretation and a simple post-processing algorithm.
Since many critical decisions impacting human lives are increasingly being made by algorithms, it is important to ensure that the treatment of individuals under such algorithms is demonstrably fair under reasonable notions of fairness. One compelling notion proposed in the literature is that of individual fairness (IF)…
In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition onto the case of superm…
In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and the necessary and sufficient conditions of the local regularity of it in the disc…
People are rated and ranked, towards algorithmic decision making in an increasing number of applications, typically based on machine learning. Research on how to incorporate fairness into such tasks has prevalently pursued the paradigm of group fairness: giving adequate success rates to specifically protected groups. I…
The paper tackles fair sharing of exploration costs across groups in online learning.
problem Sharing the cost of exploration fairly across multiple groups in online learning.
method The paper introduces the 'grouped' bandit model and uses axiomatic bargaining theory, specifically the Nash bargaining solution, to formalize fairness.
result The paper derives policies that are optimally fair and regret-optimal, showing that regret-optimal policies can be unfair.
Recent work on fairness in machine learning has primarily emphasized how to define, quantify, and encourage "fair" outcomes. Less attention has been paid, however, to the ethical foundations which underlie such efforts. Among the ethical perspectives that should be taken into consideration is consequentialism, the posi…
We clarify what fairness guarantees we can and cannot expect to follow from unconstrained machine learning. Specifically, we characterize when unconstrained learning on its own implies group calibration, that is, the outcome variable is conditionally independent of group membership given the score. We show that under r…
This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protectio…
Current adoption of machine learning in industrial, societal and economical activities has raised concerns about the fairness, equity and ethics of automated decisions. Predictive models are often developed using biased datasets and thus retain or even exacerbate biases in their decisions and recommendations. Removing …
We study the problem of finding probability densities that match given European call option prices. To allow prior information about such a density to be taken into account, we generalise the algorithm presented in Neri and Schneider (2011) to find the maximum entropy density of an asset price to the relative entropy c…
Predictive models are increasingly deployed for the purpose of determining access to services such as credit, insurance, and employment. Despite potential gains in productivity and efficiency, several potential problems have yet to be addressed, particularly the potential for unintentional discrimination. We present an…
In this paper we study the problem of correlation clustering under fairness constraints. In the classic correlation clustering problem, we are given a complete graph where each edge is labeled positive or negative. The goal is to obtain a clustering of the vertices that minimizes disagreements -- the number of negative…
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair randomizations of the initial dollar, by exchanging it for a random wealth whos…