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 tackles adaptive policy selection to maximize social welfare, achieving optimal regret bounds.
problem Maximizing social welfare through adaptive policy selection, considering both private utility and public revenue.
method The approach involves learning response functions through experimentation, deriving lower and upper bounds for regret, and using algorithms like Exp3.
result The algorithm achieves optimal regret bounds, showing that welfare maximization is harder than multi-armed bandit problems.
Current methodologies in machine learning analyze the effects of various statistical parity notions of fairness primarily in light of their impacts on predictive accuracy and vendor utility loss. In this paper, we propose a new framework for interpreting the effects of fairness criteria by converting the constrained lo…
Although both systems analyzed are described through two theories apparently different (quantum mechanics and game theory) it is shown that both are analogous and thus exactly equivalents. The quantum analogue of the replicator dynamics is the von Neumann equation. Quantum mechanics could be used to explain more correc…
The so called "globalization" process (i.e. the inexorable integration of markets, currencies, nation-states, technologies and the intensification of consciousness of the world as a whole) has a behavior exactly equivalent to a system that is tending to a maximum entropy state. This globalization process obeys a collec…
This paper studies the problem of optimally allocating treatments in the presence of spillover effects, using information from a (quasi-)experiment. I introduce a method that maximizes the sample analog of average social welfare when spillovers occur. I construct semi-parametric welfare estimators with known and unknow…
Now that machine learning algorithms lie at the center of many resource allocation pipelines, computer scientists have been unwittingly cast as partial social planners. Given this state of affairs, important questions follow. What is the relationship between fairness as defined by computer scientists and notions of soc…
We propose a contextual bandit based model to capture the learning and social welfare goals of a web platform in the presence of myopic users. By using payments to incentivize these agents to explore different items/recommendations, we show how the platform can learn the inherent attributes of items and achieve a subli…
This paper introduces metrics for welfare analysis in dynamic models. We develop estimation and inference for these parameters even in the presence of a high-dimensional state space. Examples of welfare metrics include average welfare, average marginal welfare effects, and welfare decompositions into direct and indirec…
The paper automates policy learning for nonlinear welfare criteria using machine learning and debiasing techniques.
problem Learning optimal policies from observational data with nonlinear welfare criteria.
method Modeling a nonlinear welfare criterion with a utility function, estimating propensity scores with machine learning, and using sieve approximations and cross-validation for model selection.
result The proposed policy learning method satisfies oracle inequalities, providing theoretical guarantees on performance.
We consider a multi-armed bandit problem with covariates. Given a realization of the covariate vector, instead of targeting the treatment with highest conditional expectation, the decision maker targets the treatment which maximizes a general functional of the conditional potential outcome distribution, e.g., a conditi…
An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth. In the limit for small impact costs, we explicitly determine the optimal policy and welfare, in a general Markovian setting allowing for stochastic market, cost, and preference parameters. Thes…
A fund manager invests both the fund's assets and own private wealth in separate but potentially correlated risky assets, aiming to maximize expected utility from private wealth in the long run. If relative risk aversion and investment opportunities are constant, we find that the fund's portfolio depends only on the fu…
We present a simplified model for the exploitation of finite resources by interacting agents, where each agent receives a random fraction of the available resources. An extremal dynamics ensures that the poorest agent has a chance to change its economic welfare. After a long transient, the system self-organizes into a …
The paper proposes a new policy for optimal treatment allocation based on quantile treatment effects.
problem Optimal treatment allocation policies that target distributional welfare, especially when individuals are heterogeneous.
method The approach involves allocating treatments based on the conditional quantile of individual treatment effects (QoTE), considering both prudent and negligent policymakers.
result The proposed minimax policies are robust to model uncertainty and can be generalized to various settings.
Adopting a zonal structure of electricity market requires specification of zones' borders. In this paper we use social welfare as the measure to assess quality of various zonal divisions. The social welfare is calculated by Market Coupling algorithm. The analyzed divisions are found by the usage of extended Locational …
Ranking models are typically designed to provide rankings that optimize some measure of immediate utility to the users. As a result, they have been unable to anticipate an increasing number of undesirable long-term consequences of their proposed rankings, from fueling the spread of misinformation and increasing polariz…
The paper starts with a brief review of present understanding of income distributions; especially with regard to recent work in the field of econophysics that draws parallels between income, wealth and energy distributions. Examples of alternative energy distributions found in physical systems are discussed, and how th…