An autoencoder factor model with a variational information-bottleneck penalty shows better out-of-sample asset pricing metrics at high factor counts, though the evidence lacks statistical rigor.
Common risk factors in the returns on stocks and bonds
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An Information Bottleneck Asset Pricing Model
An autoencoder factor model with a variational information-bottleneck penalty shows better out-of-sample asset pricing metrics at high factor counts, though the evidence lacks statistical rigor.