Welcome to my website!
I’m Shaoran Li, a fifth-year Ph.D. student in Economics at the University of Cambridge, supervised by Prof. Oliver Linton and expecting to graduate in May 2021. My research interests are Econometrics, Asset Pricing, and Portfolio Management. My Job Market Topic is A Semiparametric Characteristics-based Factor Model, which consists of two papers. A Dynamic Network of Arbitrage Characteristics approximates and estimates the model and uses a power enhanced test to investigate arbitrage characteristics. A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection constructs the factor-mimicking sub-portfolios through characteristics-based factor loadings and invests in these sub-portfolios guided by predicting the factor’s risk premium.
