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department of finance
job title: assistant professor, school of economics, peking university
e-mail: lishaoran@pku.edu.cn
research field:
financial measurement, asset pricing, portfolio management, machine learning
education background:
2016-2021 university of cambridge, phd in economics
2015-2016 university of cambridge, master of economic studies
2013-2015 university of birmingham, bachelor of science
2011-2015 southwestern university, finance and economics bachelor of finance
publications:
when will the covid-19 pandemic peak? （with oliver linton） journal of econometrics volume 220, issue 1, september 2020, pages 130-157
working papers:
augment large covariance matrix estimation with auxiliary information (with shuyi ge, oliver linton and weiguang liu)
news-implied linkages and local dependency in the equity market (with shuyi ge and oliver linton)
dynamic peer groups of arbitrage characteristics (with shuyi ge and oliver linton) revised and resubmitted, journal of business & economic statistics
a dynamic semiparametric characteristics-based model for optimal portfolio selection (with gregory connor and oliver linton)
specification-lasso and an application in financial markets (with chaohua dong)
