Ralph S.J. Koijen
AQR Capital Management Distinguished Service Professor of Finance and Fama Faculty Fellow
University of Chicago, Booth School of Business, NBER, and CEPR
University of Chicago, Booth School of Business, NBER, and CEPR
2024 FMA overview presentation on demand system asset pricing
2025 Workshop on Demand System Asset Pricing
Sign up here for the annual virtual Workshop on Demand System Asset Pricing, taught together with Motohiro Yogo, on May 5, 12, and 19, 2025 from 9am-noon EST.
All are welcome to attend including PhD students, faculty, and policy economists. The workshop teaches you how to use asset demand systems to answer questions in asset pricing and macro finance using modern AI and machine learning tools. We will cover data construction, asset and investor embeddings, model estimation, identification, and applications. We will assign optional coding exercises between sessions so that participants will gain practical experience to start doing research using asset demand systems. For more background on asset demand systems, please see https://www.nber.org/reporter/2021number4/asset-demand-systems-macro-finance.
Agenda
2025 Workshop on Demand System Asset Pricing
Sign up here for the annual virtual Workshop on Demand System Asset Pricing, taught together with Motohiro Yogo, on May 5, 12, and 19, 2025 from 9am-noon EST.
All are welcome to attend including PhD students, faculty, and policy economists. The workshop teaches you how to use asset demand systems to answer questions in asset pricing and macro finance using modern AI and machine learning tools. We will cover data construction, asset and investor embeddings, model estimation, identification, and applications. We will assign optional coding exercises between sessions so that participants will gain practical experience to start doing research using asset demand systems. For more background on asset demand systems, please see https://www.nber.org/reporter/2021number4/asset-demand-systems-macro-finance.
Agenda
- Session 1: A demand system approach to asset pricing
- Topics: Motivation, micro foundations, data construction, and model specification.
- Main papers:
- Session 2: Embeddings
- Topics: Use modern AI and ML tools to estimate asset and investor embeddings in equity and fixed income markets with applications to valuation and risk assessment.
- Main papers:
- Session 3: Applications of asset demand systems and open questions
- Topics: Identification, estimation, applications, and open questions.
- Main papers: