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
About
About me
Posts
Future Blog Post
Date:
This post will show up by default. To disable scheduling of future posts, edit config.yml and set future: false.
Blog Post number 4
Date:
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.
Blog Post number 3
Date:
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.
Blog Post number 2
Date:
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.
Blog Post number 1
Date:
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.
portfolio
Portfolio item number 1
Short description of portfolio item number 1
Portfolio item number 2
Short description of portfolio item number 2
publications
Paper Title Number 1
Published in Journal 1, 2009
This paper is about the number 1. The number 2 is left for future work.
Recommended citation: Your Name, You. (2009). "Paper Title Number 1." Journal 1. 1(1).
Download Paper | Download Slides | Download Bibtex
Paper Title Number 2
Published in Journal 1, 2010
This paper is about the number 2. The number 3 is left for future work.
Recommended citation: Your Name, You. (2010). "Paper Title Number 2." Journal 1. 1(2).
Download Paper | Download Slides
Paper Title Number 3
Published in Journal 1, 2015
This paper is about the number 3. The number 4 is left for future work.
Recommended citation: Your Name, You. (2015). "Paper Title Number 3." Journal 1. 1(3).
Download Paper | Download Slides
Paper Title Number 4
Published in GitHub Journal of Bugs, 2024
This paper is about fixing template issue #693.
Recommended citation: Your Name, You. (2024). "Paper Title Number 3." GitHub Journal of Bugs. 1(3).
Download Paper
Paper Title Number 5, with math \(E=mc^2\)
Published in GitHub Journal of Bugs, 2024
This paper is about a famous math equation, \(E=mc^2\)
Recommended citation: Your Name, You. (2024). "Paper Title Number 3." GitHub Journal of Bugs. 1(3).
Download Paper
researchs
- Heterogeneous Measures of Corporate Bond Liquidity
Abstract
We develop a deep learning framework to directly estimate tangency portfolio weights by augmenting benchmark factors with a long-short deep factor derived from high-dimensional characteristics. Guided by a Sharpe ratio maximization objective, the deep factor plays two key roles: (i) providing a natural hedge against benchmark risks, and (ii) capturing multi-market signals to enhance the performance of the benchmark. In an empirical application to U.S. corporate bonds using 132 firm-level bond, equity, and option characteristics, the deep factor achieves an out-of-sample Sharpe ratio exceeding 1, and the deep tangency portfolio benchmarked against the market factor yields a Sharpe ratio over 2, outperforming portfolios spanned by common observable or latent factors. These results demonstrate that bond risk signals are fundamentally dense, requiring the nonlinear integration of multi-market information to span the efficient frontier.
Abstract
We find cross-market information expands the mean-variance efficiency in corporate bond and equity markets. Using 41 bond and 288 equity characteristics from the U.S. (2004-2022), we construct Within-Market and Cross-Market managed-portfolios optimized via a maximum Sharpe ratio framework. The Cross-Market strategy significantly outperforms Within-Market alternatives, generating robust alphas. These strategies are SDF projections onto payoff spaces; the efficiency expansion rejects complete market integration in the spanning sense, conditional on our managed-portfolio design. Crosssectional and time-series analyses reveal that the rejection is concentrated in illiquid and hard-to-arbitrage segments and attenuates when volatility is low and liquidity is high.
Abstract
We argue that return predictability is a latent, asset-specific, and state-dependent characteristic. We develop an interpretable Panel Tree that endogenously partitions the U.S. equity panel into out-of-sample and persistent “mosaic” patterns, and estimate cluster-specific forecasting models. Predictability concentrates in stocks with large earnings surprises, high earnings-price ratios, and low trading volume. It is countercyclical, stronger when market dividend yields are high and liquidity is low. Accounting for predictability heterogeneity, which conventional models ignore, improves forecasts and yields portfolios with out-of-sample Sharpe ratios around 2. Across 50 years of data, the mosaic map shows where signals arise and where noise dominates.
- Mapping Skill Pockets in Mutual Funds
- Virue or Mirage in Currency Markets
talks
Talk 1 on Relevant Topic in Your Field
Date:
This is a description of your talk, which is a markdown file that can be all markdown-ified like any other post. Yay markdown!
Conference Proceeding talk 3 on Relevant Topic in Your Field
Date:
This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field.
teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
This is a description of a teaching experience. You can use markdown like any other post.
Teaching experience 2
Workshop, University 1, Department, 2015
This is a description of a teaching experience. You can use markdown like any other post.