Whence LASSO? A Rational Interpretation

The authors thank the department editor (Will Cong) and anonymous referees for helpful suggestions that improved the paper and Patrick Blonien, Andrea Buffa, John Chao, Hui Chen, Alex Chinco, Winston Dou, Itay Goldstein, Frank de Jong, Steve Heston, Pete Kyle, Mark Loewenstein, Semyon Malamud, Shrihari Santosh, Duane Seppi, Hyun-Song Shin, Giulio Trigilia, Jun Tu, Yajun Wang, Wei Xiong, Guofu Zhou, Zhengge Zhou, and audiences at the 2023 AI and Big Data in Accounting and Finance Conference, the 2023 China International Conference in Finance, the 2023 European Finance Association Annual Conference, the 2023 Finance Theory Group Summer School, the 2023 Kentucky Finance Conference, the 2024 Conference on Financial Economics and Accounting, the 2024 FMA Asia/Pacific Conference, and the 2024 Western Finance Association Annual Meeting.