4 citations · 6 across the 5 of their papers we have counts for
6 papers
When Stress Tests Miss the Risk: Statistical Scenario Analysis for Financial Portfolios
Zhongze Cai, Martin B. Haugh, Xiaocheng Li
Scenario analysis is widely used to stress test financial portfolios, yet conventional approaches often summarize scenario gains using point estimates that overlook dependence betw…
An Empirical Bayes Approach for Estimating Skill Models for Professional Darts Players
Martin B. Haugh, Chun Wang
We perform an exploratory data analysis on a data-set for the top 16 professional darts players from the 2019 season. We use this data-set to fit player skill models which can then…
Counterfactual Analysis in Dynamic Latent State Models
Martin Haugh, Raghav Singal
We provide an optimization-based framework to perform counterfactual analysis in a dynamic model with hidden states. Our framework is grounded in the ``abduction, action, and predi…
Wasserstein Logistic Regression with Mixed Features
Aras Selvi, Mohammad Reza Belbasi, Martin B Haugh +1
Recent work has leveraged the popular distributionally robust optimization paradigm to combat overfitting in classical logistic regression. While the resulting classification schem…
Play Like the Pros? Solving the Game of Darts as a Dynamic Zero-Sum Game
Martin B. Haugh, Chun Wang
The game of darts has enjoyed great growth over the past decade with the perception of darts moving from that of a pub game to a game that is regularly scheduled on prime-time tele…
Information Relaxations and Dynamic Zero-Sum Games
Martin Haugh, Chun Wang
Dynamic zero-sum games are an important class of problems with applications ranging from evasion-pursuit and heads-up poker to certain adversarial versions of control problems such…