While recently the after-cost profits of many anomalies are close to zero, investing according to the Mean-Variance (MV) criterion has never been so rewarding. The Global Minimum Variance Portfolio is the simplest option to profitably gain exposure to the market by timing stock covariances....

We improve on the Instrumented Principal Component Analysis (IPCA) model developed in Kelly, Pruitt and Su (2019) by providing more efficient Generalized Least Square (GLS) estimators with a closed-form limiting distribution allowing for a more consistent (mis)pricing inference. The IPCA model...

Kozak and Nagel (2022) theoretically show how GLS factors, slopes of monthly cross-sectional GLS regressions of returns on characteristics, perfectly span the mean-variance frontier. We provide an empirical design to recover feasible GLS factors clustering the covariance of returns at the...

We design an equilibrium model for the mining market in the presence of professional and casual miners. We apply our setup to the Bitcoin and Ethereum market and find that the (recent) dynamics of crypto prices are well approximated by those of their mining technological enhancements....

We design an equilibrium model for the mining market in the presence of professional and casual miners. We apply our setup to the Bitcoin and Ethereum market and find that the (recent) dynamics of crypto prices are well approximated by those of their mining technological enhancements....