Ralph S.J. Koijen
@rkoijen
AQR Capital Management Professor of Finance at Chicago Booth.
If you'd like to learn more about demand system asset pricing, you can sign up for an online workshop taught by @rkoijen and @motoyogo on May 5, 12, and 19 at 9am-noon ET. See registration link below. #DSAP
The workshop will take place on May 5, 12, and 19, 2025 from 9am-noon EST. You can register via the following link: chicagobooth.az1.qualtrics.com/jfe/form/SV_2r… All are welcome to attend including PhD students, faculty, and those from policy institutions and the industry.
Keynote Lecture at @nberpubs LTAM. What is demand system asset pricing (@rkoijen and @myogo, 2019)? How does it relate to the SDF approach? How does identification work? How can it help my research and teaching? video: youtu.be/9C2uO0P2tLk slides: conference.nber.org/confer/2025/LT…
Asset embeddings, derived from portfolio holdings using AI/machine learning, predict relative valuations, explain stock return comovement, and forecast portfolio decisions, from @xgabaix, @rkoijen, @rrichmond, and @motoyogo nber.org/papers/w33651
🚨#Predoc position! I'm hiring a pre-doctoral fellow at Chicago Booth to work on AI and machine learning applications in asset pricing, starting in the summer of 2025. For details and how to apply: tinyurl.com/4snrabx8 @econ_ra #EconTwitter
Call for papers: NBER Insurance Working Group Meeting in Cambridge, MA on May 9, 2025. Please submit your papers by midnight ET on February 17, 2025 at conference.nber.org/confsubmit/bac…
Using new household-level portfolio data including over 400 billionaires finds risk transfer (how much risk changes hands) is small: 0.65 percent per quarter. Standard models, however, predict 10 times more. A new model with inelastic demand provides reconciliation, from…
New working paper, "Limited Risk Transfer Between Investors: A New Benchmark for Macro-Finance Models," from @xgabaix, @rkoijen (@ChicagoBooth), Federico Mainardi, @plausiblyexog, and @motoyogo. ow.ly/EBO250UBw5f
🚨Announcement: Virtual Workshop on Demand System Asset Pricing🚨 Together with @xgabaix and @motoyogo, we will organize a virtual workshop on using asset demand systems to answer questions in asset pricing and macro finance.
I'm hiring a #predoc to work with me at Harvard finance/macro/behavioral, and/or on Machine Learning (also with my great coauthors @rkoijen @motoyogo @rrichmond), starting in the summer 2024! Apply here: rb.gy/s2zwo3 @econ_ra @predoc_org
Using new data on flows across many asset classes to study the rebalancing behavior of US households, including high-net-worth individuals, in response to market fluctuations, from @xgabaix, @rkoijen, Federico Mainardi, @plausiblyexog, and @motoyogo nber.org/papers/w32001
The applications process for the @MFRProgram Summer Session for Young Scholars to be held on August 5-8, 2024 at @UChicago will launch on January 3, 2024. Interested PhD students who wish to apply can learn more here:
The Macro Finance Research Program (MFR), led by @UChi_Economics' @UncertainLars, will hold a summer session for PhD students looking to write a dissertation at the interplay of macroecon & finance. The MFR Summer Session will be held on August 5-8, 2024. More info & application:
News: We are starting a new Master in Finance Program at Chicago Booth. Applications open now. First cohort will start August 2024!
Chicago Booth is announcing a new Master in Finance Program, designed for accomplished recent college graduates in quantitative fields of study. Hear from Booth Nobel laureate Doug Diamond on what makes Booth the best place in the world to study finance. ms.spr.ly/6016iplv0