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{{Short description|American financial economist}}
{{Short description|American financial economist}}


'''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>
'''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|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042352/https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=17286}}</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|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042353/https://www.amazon.com/stores/Eric-Falkenstein/author/B001P5XI6C?ref=ap_rdr&store_ref=ap_rdr&isDramIntegrated=true&shoppingPortalEnabled=true}}</ref>


== Education ==
== Education ==
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== Career ==
== Career ==
He was a [[teaching assistant#Graduate|teaching assistant]] for [[Hyman Minsky]] at [[Washington University in St. Louis]]. He set up a [[value at risk]] system for trading operations at [[KeyBank|KeyCorp]] bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc, [[Moody's Analytics|Moody's]] private firm default [[probability model]], the premier private firm default model in the world.<ref>{{Cite web|title=Moody's Analytics RiskCalc|url=https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf|url-status=live|access-date=2021-10-05|website=[[Moody's Analytics]]}}</ref>{{third party inline|date=October 2021}} 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.<ref>{{Cite web|title=User Eric Falkenstein|url=https://ethereum.stackexchange.com/users/17099/eric-falkenstein|access-date=2021-10-05|website=Ethereum Stack Exchange}}</ref>
He was a [[teaching assistant#Graduate|teaching assistant]] for [[Hyman Minsky]] at [[Washington University in St. Louis]]. He set up a [[value at risk]] system for trading operations at [[KeyBank|KeyCorp]] bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc, [[Moody's Analytics|Moody's]] private firm default [[probability model]], the premier private firm default model in the world.<ref>{{Cite web|title=Moody's Analytics RiskCalc|url=https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf|url-status=live|access-date=2021-10-05|website=[[Moody's Analytics]]|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042356/https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf}}</ref>{{third party inline|date=October 2021}} 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.<ref>{{Cite web|title=User Eric Falkenstein|url=https://ethereum.stackexchange.com/users/17099/eric-falkenstein|access-date=2021-10-05|website=Ethereum Stack Exchange|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042354/https://ethereum.stackexchange.com/users/17099/eric-falkenstein|url-status=live}}</ref>


=== 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|issue=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|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>


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|archive-date=2023-02-04|archive-url=https://web.archive.org/web/20230204042355/https://www.wiley.com/en-us/Finding+Alpha:+The+Search+for+Alpha+When+Risk+and+Return+Break+Down-p-9781118266939|url-status=live}}</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|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|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>


{{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]]}}</ref>
{{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>


His most cited publications are:
His most cited publications are:
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== Personal life ==
== Personal life ==
Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.<ref>{{Cite web|title=Falkenblog|url=https://falkenblog.blogspot.com/p/about-me.html|url-status=live|access-date=2021-09-15|website=Falkenblog}}</ref>{{self-published source|date=October 2021}}
Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.<ref>{{Cite web|title=Falkenblog|url=https://falkenblog.blogspot.com/p/about-me.html|url-status=live|access-date=2021-09-15|website=Falkenblog|archive-date=2021-09-15|archive-url=https://web.archive.org/web/20210915194926/https://falkenblog.blogspot.com/p/about-me.html}}</ref>{{self-published source|date=October 2021}}


==References==
==References==

Revision as of 04:25, 4 February 2023

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]

As of September 2021 his h-index was 14.[15]

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[15])
  • 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. [15])
  • 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. [15])

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[16][self-published source]

References

  1. ^ "SSRN author page". privpapers.ssrn.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  2. ^ "Amazon author page: Eric Falkenstein". www.amazon.com. Archived from the original on 2023-02-04. Retrieved 2021-09-16.
  3. ^ a b Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate. Retrieved 2021-10-05.{{cite web}}: CS1 maint: url-status (link)
  4. ^ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics. Archived (PDF) from the original on 2023-02-04. Retrieved 2021-10-05.
  5. ^ "User Eric Falkenstein". Ethereum Stack Exchange. Archived from the original on 2023-02-04. Retrieved 2021-10-05.
  6. ^ 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.
  7. ^ 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.
  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. Archived from the original on 2023-02-04. Retrieved 2021-10-04.
  11. ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Archived from the original on 2021-10-04. 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. ^ a b c d "Eric Falkenstein". Google Scholar. Archived from the original on 2021-09-16. Retrieved 2021-09-16.
  16. ^ "Falkenblog". Falkenblog. Archived from the original on 2021-09-15. Retrieved 2021-09-15.


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