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

2024 FMA overview presentation on demand system asset pricing

2025 Workshop on Demand System Asset Pricing
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 those from policy institutions and the industry. 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.
- Lecture notes:
  - Part 1: Introduction
  - Part 2: Data and Identification
- Main papers:
  - A Demand System Approach to Asset Pricing
  - Exchange Rates and Asset Prices in a Global Demand System
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:
  - Asset Embeddings
  - Upgrading Credit Pricing and Risk Assessment through Embeddings
Session 3: Applications of asset demand systems and open questions
- Topics: Identification, estimation, applications, and open questions.
- Main papers:
  - A Demand System Approach to Asset Pricing
  - Exchange Rates and Asset Prices in a Global Demand System