Automating Asset Pricing Research: An Agentic Search for the SDF
Automates asset pricing research using agents to propose and test stochastic discount factors, finding one with out-of-sample Sharpe ratio of 3.38 and 0.86 rank correlation across periods.
Featured in No. 139 on 13 Nov 2026 · on release day
- Released
- 13 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7687261
- Authors
- Alejandro Lopez-Lira et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).