Infinite Factor Structure in Conditional Asset Pricing -- by Mikhail Chernov, Bryan T. Kelly, Semyon Malamud, Johannes Schwab

Semyon Malamud gratefully acknowledges the financial support of the Swiss Finance Institute and the Swiss National Science Foundation, Grant 100018-228042. We are grateful to Christian Julliard for his excellent comments and suggestions. AQR Capital Management is a global investment management firm that may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR. This work was also supported by a grant from the Swiss National Supercomputing Centre (CSCS) under project ID lp46 on Alps. Anthropic’s Claude was used to assist with parts of the mathematical derivations, numerical checks, coding, and editing; the authors are solely responsible for all content and any errors. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

I have received consulting income from AQR Capital Management exceeding $10,000 over the past three years. AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR.

Semyon Malamud gratefully acknowledges support from the Swiss Finance Institute and the Swiss National Science Foundation.

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