Eric Falkenstein: Difference between revisions
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{{Short description|American financial economist}} |
{{Short description|American financial economist}} |
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'''Eric Falkenstein''' (born 14 August 1965) is |
'''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}}</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}}</ref> |
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== Education == |
== Education == |
Revision as of 16:44, 25 November 2021
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
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[update] his h-index was 14.[16]
His most cited publications are:
- Falkenstein EG. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The journal of finance. 1996 Mar;51(1):111-35. (Cited 1376 times, according to Google Scholar[16])
- 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. [16])
- 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. [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
- ^ "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) - ^ a b Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate. Retrieved 2021-10-05.
{{cite journal}}
: CS1 maint: url-status (link) - ^ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics. Retrieved 2021-10-05.
{{cite web}}
: CS1 maint: url-status (link) - ^ "User Eric Falkenstein". Ethereum Stack Exchange. Retrieved 2021-10-05.
- ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. 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.). Retrieved 2021-09-16.
{{cite journal}}
: CS1 maint: url-status (link) - ^ 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.).
- ^ "Finding Alpha: The Search for Alpha When Risk and Return Break Down". Wiley Publishing. Retrieved 2021-10-04.
- ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Retrieved 2021-10-04.
- ^ 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.
- ^ "Book review: The missing risk premium – Eric Falkenstein". value and opportunity. 2012-10-22. Retrieved 2021-10-04.
- ^ Upbin, Bruce. "One Hedge Fund Ace's Essential Investor Reading List". Forbes. Retrieved 2021-10-05.
- ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
- ^ a b c d "Eric Falkenstein". Google Scholar. Retrieved 2021-09-16.
- ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.
{{cite web}}
: CS1 maint: url-status (link)