Chuanping Sun

I am a PhD candidate in Economics and I am going to the Job Market this year. My research area spans between financial econometrics and empirical asset pricing. In my Job Market Paper, I aimed to dissect the factor zoo while taking account of high correlations in high dimensionality, which sheds light on a new perspective of the “factor zoo enigma”. My other papers develop econometric theories of a LASSO-related estimator under more general conditions (weak correlations and fat tails) and explore portfolio optimization problems, etc. More details of my research/CV can be found in my personal webpage.