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] 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]

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. 1 2 Falkenstein, Eric (1994). "Mutual Funds, Idiosyncratic Variance, and Asset Returns". ResearchGate. Retrieved 2021-10-05.
  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 (March 1996 ed.). 51 (1). 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. 1 2 3 4 "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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