Los Angeles, CA 90025
United States
Los Angeles Capital Management
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Factor momentum, factor investing, industry momentum, principal component factors
Option Prices, Cross-Section, Equity Returns, Options
smart beta, factor tilts
Equity Premium Puzzle, Elasticity of Intertemporal Substitution, Epstein-Zin Preferences, Real Term Structure, Risk Aversion, Predictability, Time-Varying Preferences