Jump to content

Eric Falkenstein: Difference between revisions

Add links
From Wikipedia, the free encyclopedia
Browse history interactively
← Previous editNext edit →
Content deleted Content added
VisualWikitext
m →‎Education: merged duplicate refs
m v2.04b - Bot T20 CW#61 - Fix errors for CW project (Reference before punctuation)
Line 6: Line 6:


== Education ==
== Education ==
Falkenstein received his economics PhD from [[Northwestern University]] in 1994<ref name="researchgate">{{Cite paper|title=Mutual Funds, Idiosyncratic Variance, and Asset Returns|first=Eric|last=Falkenstein|year=1994|url=https://www.researchgate.net/publication/269698051_Mutual_Funds_Idiosyncratic_Variance_and_Asset_Returns|url-status=live|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"/>
Falkenstein received his economics PhD from [[Northwestern University]] in 1994,<ref name="researchgate">{{Cite paper|title=Mutual Funds, Idiosyncratic Variance, and Asset Returns|first=Eric|last=Falkenstein|year=1994|url=https://www.researchgate.net/publication/269698051_Mutual_Funds_Idiosyncratic_Variance_and_Asset_Returns|url-status=live|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"/>


== Career ==
== Career ==
Line 12: Line 12:


=== Writing ===
=== Writing ===
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}}</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 (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 [[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}}</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 (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 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><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>
He 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><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>

Revision as of 05:42, 16 October 2021

Eric Falkenstein (born 14 August 1965) is a 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

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][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

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][11] and self-published The Missing Risk Premium: Why Low Volatility Investing Works in 2012.[12][13][14]

His main contribution is that relative status seeking is a major driver of asset prices, including non-fungible tokens.[15]

As of September 2021 his h-index was 14.[16]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[17][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. ^ a b Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate. Retrieved 2021-10-05.{{cite journal}}: CS1 maint: url-status (link)
  4. ^ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics. Retrieved 2021-10-05.{{cite web}}: CS1 maint: url-status (link)
  5. ^ "User Eric Falkenstein". Ethereum Stack Exchange. Retrieved 2021-10-05.
  6. ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. 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.). Retrieved 2021-09-16.{{cite journal}}: CS1 maint: url-status (link)
  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. ^ "Finding Alpha: The Search for Alpha When Risk and Return Break Down". Wiley Publishing. Retrieved 2021-10-04.
  11. ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Retrieved 2021-10-04.
  12. ^ 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.
  13. ^ "Book review: The missing risk premium – Eric Falkenstein". value and opportunity. 2012-10-22. Retrieved 2021-10-04.
  14. ^ Upbin, Bruce. "One Hedge Fund Ace's Essential Investor Reading List". Forbes. Retrieved 2021-10-05.
  15. ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
  16. ^ "Eric Falkenstein". Google Scholar. Retrieved 2021-09-16.
  17. ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.{{cite web}}: CS1 maint: url-status (link)


Stub icon

This article about an American businessperson born in the 1960s is a stub. You can help Wikipedia by expanding it.

Retrieved from "https://en.wikipedia.org/w/index.php?title=Eric_Falkenstein&oldid=1050165257"