Sitemap
A list of all the posts and pages found on the site. For you robots out there, there is an XML version available for digesting as well.
Pages
Posts
Future Blog Post
This post will show up by default. To disable scheduling of future posts, edit config.yml and set future: false.
Blog Post number 4
This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.
Headings are cool
You can have many headings
Aren’t headings cool?
Blog Post number 3
This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.
Headings are cool
You can have many headings
Aren’t headings cool?
Blog Post number 2
This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.
Headings are cool
You can have many headings
Aren’t headings cool?
Blog Post number 1
This is a sample blog post. Lorem ipsum I can’t remember the rest of lorem ipsum and don’t have an internet connection right now. Testing testing testing this blog post. Blog posts are cool.
Headings are cool
You can have many headings
Aren’t headings cool?
codes
Autoencoder Asset Pricing Models
Implement the conditional autoencoder asset pricing models from Gu, Kelly, and Xiu (2021), Autoencoder asset pricing models, Journal of Econometrics.
Prepare Data for Asset Pricing Projects
Import and process several datasets commonly used in empirical asset pricing research.
research
Fiscal Policy and the Government Debt Maturity Structure
This paper studies the attenuating effects of government debt maturity structure on the transmission of fiscal policy shocks. I use local projection methods with external instrumental variables to show that longer maturity or duration significantly dampens the output expansionary and in ationary effects of fiscal policy. A model of fiscal theory of price level is able to nicely rationalize my empirical findings. The main mechanism is that longer duration of the debt portfolio allows the government to exploit more capital gains against the private investors in face of a deficit shock, reducing the desire to inflate away existing debt.
Fiscal Shocks and Beliefs with Anna Cieslak and Hao Pang
The Zero-Beta Rate Revisited
The zero-beta rate is an important concept in asset pricing due to its implications for the security market line, beta anomaly, risk-free rate, etc. This paper revisits the estimation of the zero-beta rate and argues that existing methods produce high and volatile zero-beta rates arising from two channels: model misspecification and error-invariables. Any model misspecification leads to a non-uniqueness of the zero-beta rate. Measurement errors in betas increase noise in the estimation. Simulation analysis shows that both channels are quantitatively important for increasing the mean and volatility of the estimated zero-beta rate.
- Conferences: AFA 2025 Ph.D. Poster Session
Zero-Beta (Factor-Neutral) Portfolios
Zero-beta portfolios (factor-neutral portfolios) are constructed to eliminate exposure to systematic risk within a factor model. This paper examines their novel role in empirical asset pricing. I develop a unified framework for testing and comparing factor models based on the maximum Sharpe ratio of zero-investment zero-beta portfolios, which is broadly applicable and robust to practical frictions. Although all models are formally misspecified, machine learning–based approaches dominate conventional ones. I further propose an optimal zero-beta investment strategy that exploits model mispricing, delivering robust out-of-sample performance and outperforming most established strategies after accounting for transaction costs. I demonstrate that, in practice, leveraging modern asset pricing models may be more effective by systematically trading model mispricings rather than harvesting factor risk premia. Finally, I show that using unit-investment zero-beta portfolios to estimate the zero-beta rate introduces an upward bias proportional to the degree of model misspecification.
teaching
Teaching Assistant
Fuqua School of Business, Duke University
- Asset Pricing Theory (PhD), 2023-2024
- Investment (MBA), 2021-2024
- Venture Capital & Private Equity (MBA), 2023-2024
- Financial Management (MBA), 2021-2023
- Introductory Finance (Master), 2021-2024