Jim Chen's SSRN abstracts

Welcome to Jim Chen's SSRN abstracts. This is a human-friendly display of the RSS feed  for Mr. Chen's official SSRN page (http://ssrn.com/author=68651), reorganized by reverse chronological order rather than number of downloads. To receive updates as Mr. Chen posts new papers or updates old papers, please use the following form:

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New: Relevance, Redundancy, and Regularization: Penalized Regression and the Quest for the ℓ₀ Quasi-Norm, https://www.ssrn.com/abstract=4188299 (September 13, 2022)

The vector of a linear model’s coefficients represents the clearest guide to causal inference. Collinearity among variables, however, undermines the interpretation of that model. A wildly large positive coefficient on one variable may be offset by a comparably large negative coefficient on a collinear variable. Neither the size nor the sign of those coefficients can be trusted.

Instability arising from collinearity and high variance can be remedied through regularized or penalized regression. These methods can select model features in graduated or categorical fashion. Enforcing ℓ2 (Ridge) and ℓ1 (Lasso) regularization can blunt or even eliminate irrelevant or redundant variables. Methods incorporating the ℓ1 norm can induce sparsity. The resulting vector of nonzero standardized coefficients delivers the ℓ0 quasi-norm as the best mathematical representation of the model’s causal inferences.

In addition to Lasso, Ridge, and ElasticNet (a hybrid of Lasso and Ridge), this ...
New: No Country for Old Men (or Women): The Impact of Migration on Pension Funding Adequacy and Sustainability, https://www.ssrn.com/abstract=4185168 (August 11, 2022)

Retirement security is of paramount importance to working people. Adequate retirement income is also a leading concern for private and public pension systems. Pension funding adequacy measures the ability of pension scheme assets to meet a system’s liabilities. Pension managers accumulate assets primarily from employee contributions. Assets then grow through investment returns. Liabilities consist mainly of benefits promised and paid to pensioners.

In several countries, even within the European Union, a substantial percentage of the population receives pension income much lower than pre-retirement income or even the poverty line. At the same time, pension funding adequacy is threatened by reduced fertility in most European countries. Economic crises during the first quarter of the twenty-first century — the great recession, a sovereign debt crisis, the Covid-19 pandemic — have decreased individual and family income. These crises have reduced pension payments.

When the ...
REVISION: This Is the Way the World Ends, Not with a Bang but Bonds and Bullets, https://www.ssrn.com/abstract=3904934 (December 1, 2021)

This article explores instinctive frames of human decision-making in environmental and resource economics. Higher-moment asset pricing combines rational, mathematically informed economic reasoning with psychological and biological insights. Leptokurtic blindness and skewness preference combine in particularly challenging ways for carbon mitigation. At their worst, human heuristics may generate perverse decisions. Information uncertainty and the innate preference for bonds-and-bullets portfolios may impair responses to catastrophic climate change.

  

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