Oleg Rytchkov

Temple University - Department of Finance

Fox School of Business and Management

Philadelphia, PA 19122

United States

SCHOLARLY PAPERS

7

DOWNLOADS

3,211

SSRN CITATIONS

29

CROSSREF CITATIONS

8

Scholarly Papers (7)

1.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

Review of Financial Studies (RFS), Vol. 30, No. 4, pp. 1339-1381, 2017
Number of pages: 70 Posted: 10 Aug 2013 Last Revised: 05 Jun 2017
Nathaniel Light, Denys Maslov and Oleg Rytchkov
American University in Dubai, Moody's Analytics and Temple University - Department of Finance
Downloads 1,001 (29,415)
Citation 9

Abstract:

Loading...

asset pricing, expected returns, anomaly, latent variables, PLS

2.

Asset Pricing with Index Investing

Journal of Financial Economics (JFE), Forthcoming, Fox School of Business Research Paper No. 15-051
Number of pages: 87 Posted: 29 Nov 2014 Last Revised: 21 Jul 2020
Georgy Chabakauri and Oleg Rytchkov
London School of Economics and Political Science and Temple University - Department of Finance
Downloads 685 (49,529)
Citation 9

Abstract:

Loading...

risk sharing, general equilibrium, index investing, heterogeneous investors, Lucas trees

3.

Information Aggregation and P-hacking

Fox School of Business Research Paper No. 17-004
Number of pages: 55 Posted: 20 Dec 2016 Last Revised: 29 Aug 2018
Oleg Rytchkov and Xun Zhong
Temple University - Department of Finance and Fordham University - Finance Area
Downloads 413 (92,565)

Abstract:

Loading...

predictability of returns, p-hacking, forecast combination, 3PRF, PLS

4.

Asset Pricing with Dynamic Margin Constraints

EFA 2009 Bergen Meetings Paper, Journal of Finance, Vol. 69, pp. 405-452, 2014
Number of pages: 99 Posted: 13 Feb 2009 Last Revised: 29 Nov 2014
Oleg Rytchkov
Temple University - Department of Finance
Downloads 377 (102,880)
Citation 19

Abstract:

Loading...

exchange economy, margin requirements, general equilibrium

5.

Macroeconomic Content of Characteristics-Based Asset Pricing Models: A Machine Learning Analysis

Number of pages: 67 Posted: 17 Jan 2020 Last Revised: 01 Nov 2021
Oleg Rytchkov and Xun Zhong
Temple University - Department of Finance and Fordham University - Finance Area
Downloads 294 (134,908)

Abstract:

Loading...

asset pricing, stochastic discount factor, machine learning, elastic net, macroeconomic shocks

6.

Learning about Noise

Journal of Banking and Finance, Vol. 89, 2018, Fox School of Business Research Paper No. 15-067
Number of pages: 44 Posted: 27 Mar 2015 Last Revised: 22 Mar 2018
Paul Marmora and Oleg Rytchkov
Randolph-Macon College and Temple University - Department of Finance
Downloads 249 (159,773)
Citation 4

Abstract:

Loading...

rational expectations, information acquisition, entropy, price informativeness

7.

Time-Varying Margin Requirements and Optimal Portfolio Choice

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 2, pp. 655-683, 2016
Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 16 Dec 2016
Oleg Rytchkov
Temple University - Department of Finance
Downloads 192 (203,952)
Citation 2

Abstract:

Loading...

portfolio problem, margin requirements, hedging demand, jumps