Eric Falkenstein

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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.[4]

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.[5][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.[6]

Writing

Falkenstein has blogged for many years and was among the top influencer bloggers according to the Wall Street Journal.[7] He has written articles that were published in The Journal of Finance[8], The Journal of Fixed Income[9] and Derivatives Quarterly.[10]

He has written two books: Finding Alpha: The Search for Alpha When Risk and Return Break Down (Wiley, 2009)[11][12] and self-published The Missing Risk Premium: Why Low Volatility Investing Works in 2012.[13][14][15]

His main contribution is that relative status seeking is a major driver of asset prices, including non-fungible tokens.[16]

As of September 2021 his h-index was 14.[17]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[18][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. ^ "Researchgate". Retrieved 2021-10-05.{{cite web}}: CS1 maint: url-status (link)
  4. ^ Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate.
  5. ^ "Moody's Analytics RiskCalc" (PDF). Moody's Analytics. Retrieved 2021-10-05.{{cite web}}: CS1 maint: url-status (link)
  6. ^ "User Eric Falkenstein". Ethereum Stack Exchange. Retrieved 2021-10-05.
  7. ^ Mattich, Alen (2010-12-30). "The Best Economics Blogs". Wall Street Journal. ISSN 0099-9660. Retrieved 2021-09-16.
  8. ^ 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)
  9. ^ Falkenstein, Eric. "Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve". The Journal of Fixed Income (June 1996 ed.).
  10. ^ Falkenstein, Eric. "Value-at-Risk and Derivatives Risk". Derivatives Quarterly (Fall 1997 ed.).
  11. ^ "Finding Alpha: The Search for Alpha When Risk and Return Break Down". Wiley Publishing. Retrieved 2021-10-04.
  12. ^ Cowen, Tyler (September 20, 2009). "Eric Falkenstein's *Finding Alpha*". Marginal REVOLUTION. Retrieved 2021-10-04.
  13. ^ 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.
  14. ^ "Book review: The missing risk premium – Eric Falkenstein". value and opportunity. 2012-10-22. Retrieved 2021-10-04.
  15. ^ Upbin, Bruce. "One Hedge Fund Ace's Essential Investor Reading List". Forbes. Retrieved 2021-10-05.
  16. ^ "Why Are NFTs Valuable?". Crypto Briefing. 2021-09-09. Retrieved 2021-09-15.
  17. ^ "Eric Falkenstein". Google Scholar. Retrieved 2021-09-16.
  18. ^ "Falkenblog". Falkenblog. Retrieved 2021-09-15.{{cite web}}: CS1 maint: url-status (link)


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