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Updated: Jun 1, 2025

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Cross-section without factors: a string model for expected returns

Walter Distaso1, Antonio Mele2, Grigory Vilkov3

  • 1Imperial College, South Kensington Campus, London SW7 2AZ, United Kingdom.

Quantitative Finance
|January 20, 2025
PubMed

Keywords:
Arbitrage pricingBig stocksCorrelation premiumCross-section of returnsImplied correlationPremium for correlation riskString models

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