Selected Publications

• Growing the Efficient Frontier on Panel Trees
  (Lin William Cong, Guanhao Feng, Jingyu He, and Xin He.) Journal of Financial Economics, 2025, 167, 104024.
• Regularized GMM for Time-Varying Models with Applications to Asset Pricing
  (Liyuan Cui, Guanhao Feng, and Yongmiao Hong) International Economic Review, 2024, 65 (2), 851-883.
• A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data
  (Liyuan Cui, Yongmiao Hong, Yingxing Li, and Junhui Wang) Management Science, 2024, Vol. 70, No. 10, pp. 7242-7264.
• Deep Learning in Characteristics-Sorted Factor Models
  (Guanhao Feng, Jingyu He, Nicholas G. Polson, and Jianeng Xu) Journal of Financial and Quantitative Analysis. 2024, 59(7), 3001-3036.
• Factor Investing: A Bayesian Hierarchical Approach
  (Guanhao Feng, and Jingyu He) Journal of Econometrics, 2022, 230(1): 183-200.
• Taming the Factor Zoo: A Test of New Factors
  (Guanhao Feng, Stefano Giglio, and Dacheng Xiu) Journal of Finance, 2020, 75(3): 1327-1370