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An Unethical Optimization Principle. (arXiv:1911.05116v1 [q-fin.RM])

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If an artificial intelligence aims to maximise risk-adjusted return, then under mild conditions it is disproportionately likely to pick an unethical strategy unless the objective function allows sufficiently for this risk. Even if the proportion ${eta}$ of available unethical strategies is small, the probability ${p_U}$ of picking an unethical strategy can become large; indeed unless returns are fat-tailed ${p_U}$ tends to unity as the strategy space becomes large. We define an Unethical Odds Ratio Upsilon (${Upsilon}$) that allows us to calculate ${p_U}$ from ${eta}$, and we derive a simple formula for the limit of ${Upsilon}$ as the strategy space becomes large. We give an algorithm for estimating ${Upsilon}$ and ${p_U}$ in finite cases and discuss how to deal with infinite strategy spaces. We show how this principle can be used to help detect unethical strategies and to estimate ${eta}$. Finally we sketch some policy implications of this work.


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