New Frontiers in Asset Pricing

This session is for asset pricing papers on the frontier of the discipline.  Particular areas of focus are in macro finance, computation, machine learning, and climate finance.

Possible topics include but are not limited to the following: asset pricing, investor heterogeneity, learning and ambiguity, new preference structures for pricing models, or using machine learning to understand the cross-section of returns. As the analysis of such models often requires the use of computational methods, we encourage submissions that develop and make use of new numerical techniques.

A particular area of interest is climate finance, where both climate change and the policy responses to climate change present new risks in asset pricing markets.  Topics of interest include asset pricing with heterogeneous agents and disaster risks, credit risk modeling for possibly stranded assets, the implications of integrated assessment models for financial risks, and methodological advances in solution methods for complex analyses of climate finance models.

Organized by
Kenneth Judd, Hoover Institution, Stanford University
Walter Pohl, Norwegian School of Economics
Karl Schmedders, IMD Lausanne
Ole Wilms, University of Hamburg and Tilburg University

View schedule and register here to attend.