We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su
(KPS, 2019), our model allows for latent factors and factor exposures that depend on …

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 …

Building on evidence that lifetime experiences shape individuals' macroeconomic
expectations, we study asset prices in an economy in which a representative agent learns …

We document that consumption growth rates are far from iid and have a highly persistent
component. First, we estimate univariate and multivariate models of cash‐flow …

This paper assesses the quantitative impact of ambiguity on historically observed financial
asset returns and growth rates. The single agent, in a dynamic exchange economy, treats …

A rigorous and example-driven introduction to topics in economic dynamics, with an
emphasis on mathematical and computational techniques for modeling dynamic systems …

We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su
(KPS, 2019), our model allows for latent factors and factor exposures that depend on …

In this article, we use a deep quantile estimator, based on neural networks and their
universal approximation property to examine a non-linear association between the …

We define a sentiment indicator based on option prices, valuation ratios, and interest rates.
The indicator can be interpreted as a lower bound on the expected growth in fundamentals …

We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-
time models in finance. We approximate value and policy functions using deep learning and …