"A Trilogy in High Dimensions" (with B. Kelly, S. Malamud, and J. Schwab)
These three papers study asset pricing when the number of assets is large relative to the length of the sample. The first shows that conditional factor models, viewed unconditionally through many characteristic-managed portfolios, generate infinitely many strong factors, so a finite factor model cannot span the efficient portfolio. Without a low-dimensional factor structure, estimating the covariance matrix of returns requires regularization, which biases the Sharpe ratio and related objects such as the GRS statistic. The second paper corrects this bias and delivers a test of portfolio efficiency that remains valid when assets outnumber observations. The third extends the corrected statistic to estimate the maximal Sharpe ratio directly, without constructing the efficient portfolio.
"Infinite Factor Structure in Conditional Asset Pricing" (with B. Kelly, S. Malamud, and J. Schwab), October 2026, Online Appendix
"A Test of the Efficiency of a Given Portfolio in High Dimensions" (with B. Kelly, S. Malamud, and J. Schwab), September 2025
"The Hidden Sharpe Ratio" (with B. Kelly, S. Malamud, and J. Schwab), October 2026, Online Appendix
"Reassessing Sources of Risk Premiums in Currency Markets" (with M. Dahlquist and L. Lochstoer), April 2025
"What do financial markets say about the exchange rate?" (with V. Haddad and O. Itskhoki), October 2025
"A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," (with A. R. Gallant; E. Ghysels; G. Tauchen), October 1999