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SEM217: Markus Pelger, Stanford: Shrinking the Term Structure

Tuesday, April 16th @ 11:00-12:30 PM, 648 Evans Hall and Zoom

We propose a new framework to explain the factor structure in the full cross section of Treasury bond returns. Our method unifies non-parametric curve estimation with cross-sectional factor modeling. We identify smoothness as a fundamental principle of the term structure of returns. This implies factors that are investable portfolios and correspond to unique spanning basis functions with decreasing order of smoothness. These reflect and thus explain the slope and curvature shapes frequently encountered in PCA.

AMS Special Session: Loeb Measure after Fifty Years

The Special Session included fourteen research papers and a one-hour discussion session.  Two of Robert Anderson's papers were included in the program:
"General Equilibrium Theory for Measure-Theoretic Economies," joint with Haosui Duanmu, M. Ali Khan, and Metin Uyanik. 
"Existence of Berk-Nash equilibrium with infinite spaces," joint with Haosui Duanmu, Aniruddha Ghosh and M. Ali Khan.