"Arbitrage Portfolios" (with Soohun Kim and Andreas Neuhierl). Review of Financial Studies, June 2021, 34, 2813-2856.

Published  version.

Internet appendix.

Working paper version (includes internet appendix). 

Presentation slides.

Code for Arbitrage Portfolios.

 

Interview about "Arbitrage Portfolios" from the 2019 Consortium on Factor Investing, Jesus College Cambridge Cambridge, United Kingdom.