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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> |
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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He has written two books: ''Finding Alpha: The Search for Alpha When Risk and Return Break Down'' (Wiley, 2009) |
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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{{as of|September 2021}} his [[h-index]] was 14.<ref name="scholar">{{Cite web|title=Eric Falkenstein|url=https://scholar.google.com/citations?user=-k-eB3QAAAAJ&hl=en|access-date=2021-09-16|website=[[Google Scholar]]|archive-date=2021-09-16|archive-url=https://web.archive.org/web/20210916072722/https://scholar.google.com/citations?user=-k-eB3QAAAAJ&hl=en|url-status=live}}</ref> |
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His most cited publications are: |
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*Falkenstein EG. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. ''[[The Journal of Finance|The journal of finance]]''. 1996 Mar;51(1):111-35. (Cited 1376 times, according to [[Google Scholar]]<ref name="scholar" />) |
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*Falkenstein EG, Boral A, Carty LV. RiskCalc for private companies: Moody's default model. Available at SSRN 236011. 2000 May. (Cited 218 times, according to Google Scholar. <ref name="scholar" />) |
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*Blitz D, Falkenstein E, Van Vliet P. Explanations for the volatility effect: An overview based on the CAPM assumptions. ''The Journal of Portfolio Management''. 2014 Apr 30;40(3):61-76. (Cited 90 times, according to Google Scholar. <ref name="scholar" />) |
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== Personal life == |
== Personal life == |
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[[Category:Living people]] |
[[Category:Living people]] |
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[[Category:Northwestern University alumni]] |
[[Category:Northwestern University alumni]] |
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[[Category:Washington University in St. Louis |
[[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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