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Eric Falkenstein

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

Education

Eric Falkenstein received his economics PhD from Northwestern in 1994, and wrote his dissertation on the low return to high volatility stocks.[citation needed]

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

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 of 14 (Google, Sep 2021)[4] and has published two books: Finding Alpha and self-published The Missing Risk Premium. His main contribution is that relative status seeking is a major driver of asset prices, including non-fungible tokens.[5]

His writings include:

  • "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
  • Finding Alpha: The Search for Alpha When Risk and Return Break Down Wiley publishers, July 2009[8][9]
  • The Missing Risk Premium: Why Low Volatility Investing Works, August 2012[10][11]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[12][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. ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. Retrieved 2021-09-16.
  4. ^ "Eric Falkenstein". scholar.google.com. Retrieved 2021-09-16.
  5. ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
  6. ^ "Research gate - PhD thesis Advisor: Mark Satterthwaite".{{cite web}}: CS1 maint: url-status (link)
  7. ^ "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)
  8. ^ "Finding Alpha: The Search for Alpha When Risk and Return Break Down". Wiley Publishing. Retrieved 2021-10-04.
  9. ^ "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. 2009-09-20. Retrieved 2021-10-04.
  10. ^ "Book Review of The Missing Risk Premium: Why Low Volatility Investing Works by Eric G. Falkenstein". www.titansofinvesting.org. 2019-03-09. Retrieved 2021-10-04 – via Hooked to Books.
  11. ^ "Book review: The missing risk premium – Eric Falkenstein". value and opportunity. 2012-10-22. Retrieved 2021-10-04.
  12. ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.{{cite web}}: CS1 maint: url-status (link)


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