Theis Ingerslev Jensen

Copenhagen Business School

Solbjerg Plads 3, SOL/A4.17

Copenhagen, Frederiksberg 2000

  • Copenhagen Business School

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

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1.

Is There a Replication Crisis in Finance?

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Citation 24

Is There a Replication Crisis in Finance?

NYU Stern School of Business Forthcoming
Number of pages: 106 Posted: 05 Mar 2021 Last Revised: 07 Mar 2022
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 9,875 (848)

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Asset Pricing, Factors, Data Mining, Replication, Multiple Testing, External Validity, Empirical Bayes, Bayesian Statistics

Is There a Replication Crisis in Finance?

NBER Working Paper No. w28432
Number of pages: 54 Posted: 08 Feb 2021 Last Revised: 10 Mar 2023
Theis Ingerslev Jensen, Bryan T. Kelly and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM and AQR Capital Management, LLC
Downloads 15 (847,236)
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2.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 70 Posted: 18 Aug 2022 Last Revised: 19 Aug 2022
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 3,402 (5,336)

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asset pricing, machine learning, transaction costs, economic significance, investments

3.

Big Data Asset Pricing: Exercises

Number of pages: 14 Posted: 24 Apr 2022 Last Revised: 03 Mar 2023
Theis Ingerslev Jensen and Lasse Heje Pedersen
Copenhagen Business School and AQR Capital Management, LLC
Downloads 744 (53,141)

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4.

Subjective Risk and Return

Number of pages: 86 Posted: 22 Nov 2022 Last Revised: 15 Mar 2023
Theis Ingerslev Jensen
Copenhagen Business School
Downloads 390 (117,859)

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Asset pricing, subjective expectations, equity factors, asset pricing models