Beta-sorted portfolios portfolios comprised of assets with similar covariation to selected risk factors are a popular… Continue reading.

Empirical Welfare Maximization (EWM) is a framework that can be used to select welfare program eligibility… Continue reading.

Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar parameter can… Continue reading.

High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose… Continue reading.