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Falkenstein 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|url-access=subscription}}</ref> been 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 (1)|edition=March 1996|url=https://www.jstor.org/stable/i340177|url-status=live|access-date=2021-09-16}}</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 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|url-access=subscription}}</ref> been 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 (1)|edition=March 1996|url=https://www.jstor.org/stable/i340177|url-status=live|access-date=2021-09-16}}</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>


He has an [[h-index]] of 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=[[Google Scholar]]}}</ref> and has written two books: ''Finding Alpha: The Search for Alpha When Risk and Return Break Down'' (Wiley, 2009)<ref>{{Cite web|title=Finding Alpha: The Search for Alpha When Risk and Return Break Down|url=https://www.wiley.com/en-ar/Finding+Alpha%3A+The+Search+for+Alpha+When+Risk+and+Return+Break+Down-p-9781118266939|access-date=2021-10-04|publisher=[[Wiley Publishing]]|language=en-ar}}</ref><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}}</ref> and [[self-published]] ''The Missing Risk Premium: Why Low Volatility Investing Works'' in 2012.<ref>{{Cite web|date=2019-03-09|title=Book Review of The Missing Risk Premium: Why Low Volatility Investing Works by Eric G. Falkenstein|url=https://www.hookedtobooks.com/book-review-missing-risk-premium-why-low-volatility-investing-works-eric-g-falkenstein/|access-date=2021-10-04|via=Hooked to Books|language=en-US|publisher=www.titansofinvesting.org}}</ref><ref>{{Cite web|date=2012-10-22|title=Book review: The missing risk premium – Eric Falkenstein|url=https://valueandopportunity.com/2012/10/22/book-review-the-missing-risk-premium-eric-falkenstein/|access-date=2021-10-04|website=value and opportunity|language=en}}</ref>
He has an [[h-index]] of 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=[[Google Scholar]]}}</ref> and has written two books: ''Finding Alpha: The Search for Alpha When Risk and Return Break Down'' (Wiley, 2009)<ref>{{Cite web|title=Finding Alpha: The Search for Alpha When Risk and Return Break Down|url=https://www.wiley.com/en-ar/Finding+Alpha%3A+The+Search+for+Alpha+When+Risk+and+Return+Break+Down-p-9781118266939|access-date=2021-10-04|publisher=[[Wiley Publishing]]|language=en-ar}}</ref><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}}</ref> and [[self-published]] ''The Missing Risk Premium: Why Low Volatility Investing Works'' in 2012.<ref>{{Cite web|date=2019-03-09|title=Book Review of The Missing Risk Premium: Why Low Volatility Investing Works by Eric G. Falkenstein|first=Travis|last=Crawford|url=https://www.hookedtobooks.com/book-review-missing-risk-premium-why-low-volatility-investing-works-eric-g-falkenstein/|access-date=2021-10-04|via=Hooked to Books|language=en-US|publisher=www.titansofinvesting.org}}</ref><ref>{{Cite web|date=2012-10-22|title=Book review: The missing risk premium – Eric Falkenstein|url=https://valueandopportunity.com/2012/10/22/book-review-the-missing-risk-premium-eric-falkenstein/|access-date=2021-10-04|website=value and opportunity|language=en}}</ref>


His main contribution is that relative status seeking is a major driver of asset prices, including [[non-fungible token]]s.<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>
His main contribution is that relative status seeking is a major driver of asset prices, including [[non-fungible token]]s.<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>

Revision as of 16:52, 4 October 2021

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

Education

Falkenstein received his economics PhD from Northwestern University in 1994,[citation needed] 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 created RiskCalc, 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.

Writing

Falkenstein has blogged for many years and was among the top influencer bloggers according to the WSJ,[4] been published in The Journal of Finance[5], The Journal of Fixed Income[6] and Derivatives Quarterly.[7]

He has an h-index of 14 (Google, Sep 2021)[8] and has written two books: Finding Alpha: The Search for Alpha When Risk and Return Break Down (Wiley, 2009)[9][10] and self-published The Missing Risk Premium: Why Low Volatility Investing Works in 2012.[11][12]

His main contribution is that relative status seeking is a major driver of asset prices, including non-fungible tokens.[13]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[14][self-published source]

References

  1. ^ "SSRN author page". privpapers.ssrn.com. Retrieved 2021-09-16.{{cite web}}: CS1 maint: url-status (link)
  2. ^ "Amazon author page: Eric Falkenstein". www.amazon.com. Retrieved 2021-09-16.{{cite web}}: CS1 maint: url-status (link)
  3. ^ Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". Researchgate.
  4. ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. Retrieved 2021-09-16.
  5. ^ Falkenstein, Eric. "Preferences for stock characteristics as revealed by mutual fund portfolio holdings". The Journal of Finance. 51 (1) (March 1996 ed.). Retrieved 2021-09-16.{{cite journal}}: CS1 maint: url-status (link)
  6. ^ Falkenstein, Eric. "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve". The Journal of Fixed Income (June 1996 ed.).
  7. ^ Falkenstein, Eric. "Value-at-Risk and Derivatives Risk". Derivatives Quarterly (Fall 1997 ed.).
  8. ^ "Eric Falkenstein". Google Scholar. Retrieved 2021-09-16.
  9. ^ "Finding Alpha: The Search for Alpha When Risk and Return Break Down". Wiley Publishing. Retrieved 2021-10-04.
  10. ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Retrieved 2021-10-04.
  11. ^ Crawford, Travis (2019-03-09). "Book Review of The Missing Risk Premium: Why Low Volatility Investing Works by Eric G. Falkenstein". www.titansofinvesting.org. Retrieved 2021-10-04 – via Hooked to Books.
  12. ^ "Book review: The missing risk premium – Eric Falkenstein". value and opportunity. 2012-10-22. Retrieved 2021-10-04.
  13. ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
  14. ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.{{cite web}}: CS1 maint: url-status (link)


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