Stochastic Discount Factors with Cross-Asset Spillovers

By Doron Avramov, Xin He

Published 2026-02-25

Everscope rating

1583.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Maximum Sharpe Ratio Stochastic Discount Factor with Cross-Asset Spillover Matrix. Problem types: Portfolio Optimization, Optimization, Ranking, Factor Models.

arXiv:2602.20856 · Paper rankings

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