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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,<ref>{{Cite web|title=SSRN author page|url=https://privpapers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=17286|url-status=live|access-date=2021-09-16|website=privpapers.ssrn.com|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042352/https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=17286}}</ref> [[blogger]], quant portfolio manager, and book author.<ref>{{Cite web|title=Amazon author page: Eric Falkenstein|url=https://www.amazon.com/Eric-Falkenstein/e/B001P5XI6C?ref=sr_ntt_srch_lnk_3&qid=1631775571&sr=8-3|url-status=live|access-date=2021-09-16|website=www.amazon.com|language=en-us|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042353/https://www.amazon.com/stores/Eric-Falkenstein/author/B001P5XI6C?ref=ap_rdr&store_ref=ap_rdr&isDramIntegrated=true&shoppingPortalEnabled=true}}</ref> |
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{{notability|1=Biographies|date=September 2021}} |
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== Education == |
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Falkenstein received his economics PhD from [[Northwestern University]] in 1994,<ref name="researchgate">{{Cite web|title=Mutual Funds, Idiosyncratic Variance, and Asset Returns|first=Eric|last=Falkenstein|year=1994|url=https://www.researchgate.net/publication/269698051|access-date=2021-10-05|website=[[ResearchGate]]}}</ref> and wrote his [[dissertation]] on the [[Low-volatility anomaly|low return to high volatility stocks]].<ref name="researchgate"/> |
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== Career == |
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He was a [[teaching assistant#Graduate|teaching assistant]] for [[Hyman Minsky]] at [[Washington University in St. Louis]]. He set up a [[value at risk]] system for trading operations at [[KeyBank|KeyCorp]] bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc, [[Moody's Analytics|Moody's]] private firm default [[probability model]], the premier private firm default model in the world.<ref>{{Cite web|title=Moody's Analytics RiskCalc|url=https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf|url-status=live|access-date=2021-10-05|website=[[Moody's Analytics]]|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042356/https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf}}</ref>{{third party inline|date=October 2021}} 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.<ref>{{Cite web|title=User Eric Falkenstein|url=https://ethereum.stackexchange.com/users/17099/eric-falkenstein|access-date=2021-10-05|website=Ethereum Stack Exchange|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042354/https://ethereum.stackexchange.com/users/17099/eric-falkenstein|url-status=live}}</ref> |
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== |
=== Writing === |
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Falkenstein has blogged for many years and was among the top influencer bloggers according to the [[Wall Street Journal]].<ref>{{Cite news|last=Mattich|first=Alen|date=2010-12-30|title=The Best Economics Blogs|language=en-US|work=[[Wall Street Journal]]|url=https://www.wsj.com/articles/BL-SOURCEB-17775|access-date=2021-09-16|issn=0099-9660|url-access=subscription|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042355/https://www.wsj.com/articles/BL-SOURCEB-17775|url-status=live}}</ref> He has written articles that were published in ''[[The Journal of Finance]]'',<ref>{{Cite journal|first=Eric|last=Falkenstein|title=Preferences for stock characteristics as revealed by mutual fund portfolio holdings|journal=[[The Journal of Finance]]|volume=51|issue=1|edition=March 1996|url=https://www.jstor.org/stable/i340177|url-status=live|access-date=2021-09-16|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042357/https://www.jstor.org/stable/i340177}}</ref> ''[[The Journal of Fixed Income]]''<ref>{{Cite journal|first=Eric|last=Falkenstein|title=Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve|journal=[[The Journal of Fixed Income]]|edition=June 1996}}</ref> and ''Derivatives Quarterly''.<ref>{{Cite journal|first=Eric|last=Falkenstein|title=Value-at-Risk and Derivatives Risk|journal=Derivatives Quarterly|edition=Fall 1997}}</ref> |
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Eric Falkenstein received his economics PhD from [[Northwestern University|Northwestern]] in 1994, and wrote his [[Thesis|dissertation]] on the [[Low-volatility anomaly|low return to high volatility stocks]]. He was a teaching assistant for [[Hyman Minsky]] at [[Walsh University|Wash University]]. He set up a [[Value at risk|Value-at-Risk]] system for trading operations at [[KeyBank|KeyCorp]] bank, then a firm-wide economic risk capital allocation methodology. He created RiskCalc(TM), Moody's private firm default probability model, the most popular private firm default model in the world. 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|Ethereum contracts]]. Eric has blogged for many years and was among the top influencer bloggers according to the WSJ<ref>{{Cite news|last=Mattich|first=Alen|date=2010-12-30|title=The Best Economics Blogs|language=en-US|work=Wall Street Journal|url=https://www.wsj.com/articles/BL-SOURCEB-17775|access-date=2021-09-16|issn=0099-9660}}</ref>, been published in several journals, including the Journal of Finance, The Journal of Fixed Income. He has an [[h-index]] 14 (Google, Sep 2021)<ref>{{Cite web|title=Eric Falkenstein|url=https://scholar.google.com/citations?user=-k-eB3QAAAAJ&hl=en|access-date=2021-09-16|website=scholar.google.com}}</ref> and has published two books: Finding Alpha and the Missing Risk Premium. His main contribution is that relative status seeking is a major driver of asset prices, including [[Non-fungible token|NFT]].<ref>{{Cite web|date=2021-09-09|title=Why Are NFTs Valuable?|url=https://cryptobriefing.com/why-are-nfts-valuable/|access-date=2021-09-15|website=Crypto Briefing|language=en-US}}</ref> |
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He has written two books: ''Finding Alpha: The Search for Alpha When Risk and Return Break Down'' (Wiley, 2009)<ref>{{Cite web|date=September 20, 2009|first=Tyler|last=Cowen|title=Eric Falkenstein's *Finding Alpha*|url=https://marginalrevolution.com/marginalrevolution/2009/09/eric-falkensteins-finding-alpha.html|access-date=2021-10-04|website=Marginal REVOLUTION|language=en-US|archive-date=2021-10-04|archive-url=https://web.archive.org/web/20211004152515/https://marginalrevolution.com/marginalrevolution/2009/09/eric-falkensteins-finding-alpha.html|url-status=live}}</ref> and [[self-published]] ''The Missing Risk Premium: Why Low Volatility Investing Works'' in 2012.<ref>{{Cite web|last=Upbin|first=Bruce|title=One Hedge Fund Ace's Essential Investor Reading List|url=https://www.forbes.com/sites/bruceupbin/2013/01/23/one-hedge-fund-aces-essential-investor-reading-list/|access-date=2021-10-05|website=Forbes|language=en}}</ref> |
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== Selected publications == |
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* "Mutual Funds, Idiosyncratic Variance, and Asset Returns", PhD. Dissertation, Northwestern University, 1994<ref>{{Cite web|title=Research gate - PhD thesis Advisor: Mark Satterthwaite|url=https://www.researchgate.net/publication/269698051|url-status=live}}</ref> |
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* "Preferences for stock characteristics as revealed by mutual fund portfolio holdings", ''The Journal of Finance'', 51 volume 1, 1996<ref>{{Cite web|title=JSTOR The Journal of Finance - Vol. 51, No. 1, Mar., 1996|url=https://www.jstor.org/stable/i340177|url-status=live|access-date=2021-09-16|website=www.jstor.org|language=en}}</ref> |
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* "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve", ''Journal of Fixed Income'', June 1996 |
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* "Value-at-Risk and Derivatives Risk", ''Derivatives Quarterly'', Fall 1997 |
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== Personal life == |
== Personal life == |
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Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.<ref>{{Cite web|title=Falkenblog|url=https://falkenblog.blogspot.com/p/about-me.html|url-status=live|access-date=2021-09-15|website=Falkenblog}}</ref> |
Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.<ref>{{Cite web|title=Falkenblog|url=https://falkenblog.blogspot.com/p/about-me.html|url-status=live|access-date=2021-09-15|website=Falkenblog|archive-date=2021-09-15|archive-url=https://web.archive.org/web/20210915194926/https://falkenblog.blogspot.com/p/about-me.html}}</ref>{{self-published source|date=October 2021}} |
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==References== |
==References== |
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[[Category:1969 births]] |
[[Category:1969 births]] |
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[[Category:Living people]] |
[[Category:Living people]] |
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[[Category:Northwestern University alumni]] |
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[[Category:Washington University in St. Louis alumni]] |
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Latest revision as of 18:19, 31 January 2024
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]
Education[edit]
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[edit]
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][third-party 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[edit]
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[edit]
Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[12][self-published source]
References[edit]
- ^ "SSRN author page". privpapers.ssrn.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
- ^ "Amazon author page: Eric Falkenstein". www.amazon.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
- ^ a b Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate. Retrieved 2021-10-05.
- ^ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics. Archived (PDF) from the original on 2023-02-04. Retrieved 2021-10-05.
- ^ "User Eric Falkenstein". Ethereum Stack Exchange. Archived from the original on 2023-02-04. Retrieved 2021-10-05.
- ^ 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.
- ^ 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.
- ^ Falkenstein, Eric. "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve". The Journal of Fixed Income (June 1996 ed.).
- ^ Falkenstein, Eric. "Value-at-Risk and Derivatives Risk". Derivatives Quarterly (Fall 1997 ed.).
- ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Archived from the original on 2021-10-04. Retrieved 2021-10-04.
- ^ Upbin, Bruce. "One Hedge Fund Ace's Essential Investor Reading List". Forbes. Retrieved 2021-10-05.
- ^ "Falkenblog". Falkenblog. Archived from the original on 2021-09-15. Retrieved 2021-09-15.
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