Working Papers

2026

Machine Learning Portfolio Choice under Parameter Uncertainty

Zheng

2025

Transaction Costs and the Stochastic Discount Factor

Jiao, Ma

2025

Extrapolation Bias and the Lottery Effect: Evidence from Cryptocurrency Markets

Babiak

2025

The Sector Anatomy of Commodity Risk Premia

Jung

2025

Correlated False Discoveries and Asset Pricing Anomalies

Komiyama, McAllin, Yang

2025

Weak Signals, Small Bets: A Portfolio Perspective on Firm Characteristics

Venturi

REAG Best Articles Award, XXV Brazilian Finance Meeting

2023

It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction

Rubesam, Tamoni

2018

Divide and Conquer: Financial Ratios and Industry Returns Predictability

McAlinn