We show that the higher-orders and their interactions of the common sparse linear factors can effectively subsume the factor zoo. We propose a forward selection Fama-MacBeth procedure as a method to estimate a high-dimensional stochastic discount factor model, isolating the most relevant...

We propose a new non-linear single-factor asset pricing model. Despite its parsimony, this model represents exactly any non-linear model with an arbitrary number of factors and loadings - a consequence of the Kolmogorov-Arnold representation theorem. It features only one pricing component...