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Faculty of Economics


PhD Title

Specification, Selection, Estimation and Classification of semi-parametric Regressions

Research Interests

Fields: Financial Econometrics, Asset Pricing, Portfolio Management, Machine Learning

Recent Publications

Job Market Papers

Two papers based on the topic: "A Semiparametric Characteristics-based Factor Model"

Cambridge Working Papers in Economics

Dong, C. and Li, S. Specification Lasso and an Application in Financial Markets, (2021) CWPE2139
Ge, S., Li, S. and Linton, O. A Dynamic Network of Arbitrage Characteristics, (2020) CWPE2060
Connor, G., Li, S., Linton, O. A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection, (2020) CWPE20103
Li, S. and Linton, O. When will the Covid-19 pandemic peak?, (2020) CWPE2025


F300 Corporate Finance
F500 Empirical Finance

Supervisory Team

Shaoran Li

PhD Student

Research Group:

CV: Curriculum Vitae

Personal Site:
Contact Details
College: King's College