In this study, we address the ambiguity in portfolio optimization, particularly focusing on the uncertainty related to the statistical parameters governing asset returns. We propose a novel method that combines robust optimization with artificial neural networks (ANNs). Our approach effectively...

This paper rationalizes the LASSO algorithm based on uncertain fat-tail priors and max-min robust optimization. Our rationalization excludes heuristic learning or restrictive prior assumptions in the original interpretation of LASSO (Tibshirani (1996)). In our setting, economic agents...

This paper characterizes those preferences over bounded infinite utility streams that satisfy the time value of money principle and an additivity property, and the subset of these preferences that, in addition, are either impatient or patient. Based on this characterization, the paper introduces...

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

The present note provides an initial theoretical explanation of the way norm regularizations may provide a means of controlling the non-asymptotic probability of False Dominance classification for empirically optimal portfolios satisfying empirical Stochastic Dominance restrictions in an iid...

This study presents an integrated supply chain network model for biodiesel and bioethanol production, incorporating torrefaction under uncertain conditions related to the establishment of new facilities. The proposed mixed-integer linear programming model aims to minimize the total cost of the...

Cox et al. (2023) investigated the acoustic features of infant-directed speech. They used Bayesian meta-analyses to investigate five acoustic features with data from 88 studies. In the present robustness reproduction, we first check if the reported results are reproducible based on the data and...

Several process parameters affect product reliability. Traditional reliability improvement methods primarily focus on maximizing product lifetime, often overlooking the variation in product lifetime. Manufacturers, however, aim to produce products with minimal variations in their performance....

The original study by Graham et al. (2024) investigated whether loneliness changes with age across the adult lifespan, synthesizing data from nine longitudinal studies via meta-analyses. The primary finding was that loneliness follows a U-shaped trajectory: decreasing from young adulthood to...

We study the impact of a teacher strike on students still in compulsory school and about to choose their secondary education track. Using administrative data and a difference-in-differences approach, we estimate the effect of a regional strike in Finland on educational attainment and long-term...

This paper studies covariate adjusted estimation of the average treatment effect in stratified experiments. We work in a general framework that includes matched tuples designs, coarse stratification, and complete randomization as special cases. Regression adjustment with treatment‐covariate...

We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with a factor structure). We demonstrate that existing estimators and confidence intervals (CIs) can be heavily biased and size-distorted when some of the factors are weak. We...

A variety of approaches has been developed to deal with uncertain optimization problems. Often, they start with a given set of uncertainties and then try to minimize the influence of these uncertainties. The reverse view is to first set a budget for the price one is willing to pay and then find...