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Sponsored Design Multi-Agent AI Systems Using MCP and A2A: Engineer your own Pyt Design Multi-Agent AI Systems Using MCP and A2A: Engineer your own Pyt

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Magnus Dahlquist

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Aug 2026

Unpriced Common Risks: Rethinking Cross-Sectional Asset Pricing

Characteristic-based factors embed large unpriced common components that depress Sharpe ratios and lead to deviations from the mean-variance efficient (MVE) frontier. We discuss how to decompose tradable factor returns into priced (MVE) and unpriced components, showing that hedging unpriced variation realigns factors w...

Mikhail Chernov, Magnus Dahlquist, Lars A. Lochstoer · 0 citations

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