Eric Falkenstein

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Eric Falkenstein (born 14 August 1965) is an American financial economist and an expert in the field of low-volatility investing. He is an academic researcher, [1] blogger, quant portfolio manager, and book author. [2]

Contents

Education

Falkenstein received his economics PhD from Northwestern University in 1994, [3] and wrote his dissertation on the low return to high volatility stocks. [3]

Career

He was a teaching assistant for Hyman Minsky at Washington University in St. Louis. He set up a value at risk system for trading operations at KeyCorp bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc, Moody's private firm default probability model, the premier private firm default model in the world. [4] [ independent source needed ] He has been an equity portfolio manager at Pine River Capital Management and developed trading algorithms for Walleye Software. He is currently working on Ethereum contracts. [5]

Writing

Falkenstein has blogged for many years and was among the top influencer bloggers according to the Wall Street Journal. [6] He has written articles that were published in The Journal of Finance , [7] The Journal of Fixed Income [8] and Derivatives Quarterly. [9]

He has written two books: Finding Alpha: The Search for Alpha When Risk and Return Break Down (Wiley, 2009) [10] and self-published The Missing Risk Premium: Why Low Volatility Investing Works in 2012. [11]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children. [12] [ self-published source ]

References

  1. ↑ "SSRN author page". privpapers.ssrn.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  2. ↑ "Amazon author page: Eric Falkenstein". www.amazon.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  3. 1 2 Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate . Retrieved 2021-10-05.
  4. ↑ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics . Archived (PDF) from the original on 2023-02-04. Retrieved 2021-10-05.
  5. ↑ "User Eric Falkenstein". Ethereum Stack Exchange. Archived from the original on 2023-02-04. Retrieved 2021-10-05.
  6. ↑ Mattich, Alen (2010-12-30). "The Best Economics Blogs" . Wall Street Journal . ISSN   0099-9660. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  7. ↑ Falkenstein, Eric. "Preferences for stock characteristics as revealed by mutual fund portfolio holdings". The Journal of Finance . 51 (1) (March 1996 ed.). Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  8. ↑ Falkenstein, Eric. "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve". The Journal of Fixed Income (June 1996 ed.).
  9. ↑ Falkenstein, Eric. "Value-at-Risk and Derivatives Risk". Derivatives Quarterly (Fall 1997 ed.).
  10. ↑ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Archived from the original on 2021-10-04. Retrieved 2021-10-04.
  11. ↑ Upbin, Bruce. "One Hedge Fund Ace's Essential Investor Reading List". Forbes. Retrieved 2021-10-05.
  12. ↑ "Falkenblog". Falkenblog. Archived from the original on 2021-09-15. Retrieved 2021-09-15.


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