We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

These exercises are part of a course on Big Data Asset Pricing. The exercises train students in working with big asset pricing data in light of economic theory, including beta-dollar neutral portfolio construction, constructing value factors, factor replication analysis and multiple testing...

Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial economist Lasse Heje Pedersen combines the latest research with real-world examples and interviews with top hedge fund managers to show how...