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Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.
This course aims to give an introduction to the application of machine learning to finance, focusing on the problems of portfolio optimization and hedging, as well as textual analysis. A particular fo
This class is an introduction to Machine Learning and High Dimensional Statistics in Finance. We start with purely empirical approach, focusing first on high dimensional regressions then moving to ker
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
OXFORD UNIV PRESS INC2022
We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...
WILEY2022
Much of the extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in ...