We propose a new modeling approach for the cross section of returns. Our method,
Instrumented Principal Component Analysis (IPCA), allows for latent factors and time …

We propose a nonparametric method to study which characteristics provide incremental
information for the cross-section of expected returns. We use the adaptive group LASSO to …

Harry Markowitz developed the portfolio theory model in 1952. His theory is how risk-averse
investors create optimal portfolios that maximize expected returns for a given level of risk …

We take up Cochrane's (2011) challenge to identify the firm characteristics that provide
independent information about average US monthly stock returns by simultaneously …

We consider a network of equity mutual funds characterized by different levels of compliance
with Environmental, Social, and Governance (ESG) aspects. We measure the impact of …

Identifying the factors that drive the cross-section of expected returns is challenging for at
least three reasons. First, the choice of testing approach (time series versus cross-sectional) …

This paper provides a review on machine learning methods applied to the asset
management discipline. Firstly, we describe the theoretical background of both machine …

One of the key challenges in empirically modeling the total impact of marketing assets on
financial performance is the limited availability of marketing metrics data over time. The …

To attenuate an inherent errors-in-variables bias, portfolios are widely employed to test
asset pricing models; but portfolios might mask relevant risk-or return-related features of …

I review the state of empirical asset pricing devoted to understanding cross-sectional
differences in average rates of return. Both methodologies and empirical evidence are …