Eric Falkenstein: Difference between revisions
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{{Short description|American financial economist}} |
{{Short description|American financial economist}} |
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'''Erick Falkenstein''' (born September 1, 1969) is a American [[financial economist]] and a pioneer 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}}</ref> |
'''Erick Falkenstein''' (born September 1, 1969) is a American [[financial economist]] and a pioneer 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}}</ref> [[Blog|blogger]], 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}}</ref> quant portfolio manager, and president of Falken Asset Management. |
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== Education and career == |
== Education and career == |
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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> |
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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== Selected publications == |
== Selected publications == |
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Revision as of 00:46, 21 September 2021
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Erick Falkenstein (born September 1, 1969) is a American financial economist and a pioneer in the field of low-volatility investing. He is an academic researcher,[1] blogger, book author,[2] quant portfolio manager, and president of Falken Asset Management.
Education and career
Eric Falkenstein received his economics PhD from Northwestern in 1994, and wrote his dissertation on the low return to high volatility stocks. He was a teaching assistant for Hyman Minsky at Wash University. He set up a Value-at-Risk system for trading operations at 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 contracts. Eric has blogged for many years and was among the top influencer bloggers according to the WSJ,[3] been published in several journals, including the Journal of Finance, The Journal of Fixed Income. He has an h-index 14 (Google, Sep 2021)[4] 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 NFT.[5]
Selected publications
- "Mutual Funds, Idiosyncratic Variance, and Asset Returns", PhD. Dissertation, Northwestern University, 1994[6]
- "Preferences for stock characteristics as revealed by mutual fund portfolio holdings", The Journal of Finance, 51 volume 1, 1996[7]
- "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve", Journal of Fixed Income, June 1996
- "Value-at-Risk and Derivatives Risk", Derivatives Quarterly, Fall 1997
Personal life
Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[8]
References
- ^ "SSRN author page". privpapers.ssrn.com. Retrieved 2021-09-16.
{{cite web}}: CS1 maint: url-status (link) - ^ "Amazon author page: Eric Falkenstein". www.amazon.com. Retrieved 2021-09-16.
{{cite web}}: CS1 maint: url-status (link) - ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. Retrieved 2021-09-16.
- ^ "Eric Falkenstein". scholar.google.com. Retrieved 2021-09-16.
- ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
- ^ "Research gate - PhD thesis Advisor: Mark Satterthwaite".
{{cite web}}: CS1 maint: url-status (link) - ^ "JSTOR The Journal of Finance - Vol. 51, No. 1, Mar., 1996". www.jstor.org. Retrieved 2021-09-16.
{{cite web}}: CS1 maint: url-status (link) - ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.
{{cite web}}: CS1 maint: url-status (link)
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