Model-Selection Asset Pricing era
Andrew W. Lo is a representative figure who advanced model uncertainty in asset pricing, promoting Bayesian model averaging and probabilistic evaluation of competing factor models in the 2018–2024 era. Marcos López de Prado contributed with rigorous machine-learning frameworks, post-selection inference, and robust backtesting to ensure out-of-sample stability when evaluating high-dimensional factor sets and alternative models. Lasse Heje Pedersen contributed to cross-asset factor pricing and robust model selection, highlighting regularization and stress-testing with nontraditional assets like cryptocurrencies. Yacine Aït-Sahalia sharpened likelihood-based testing and information-theoretic criteria for model comparison in asset pricing, reinforcing rigorous specification checks alongside market microstructure inputs.