Eric Falkenstein Explained

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] and self-published The Missing Risk Premium: Why Low Volatility Investing Works in 2012.^[11]

Personal life

Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.^[12]

References

1. Web site: SSRN author page. live. 2021-09-16. privpapers.ssrn.com. 2023-02-04. https://web.archive.org/web/20230204042352/https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=17286.
2. Web site: Amazon author page: Eric Falkenstein. live. 2021-09-16. www.amazon.com. en-us. 2023-02-04. 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.
3. Web site: Mutual Funds, Idiosyncratic Variance, and Asset Returns. Eric. Falkenstein. 1994. 2021-10-05. ResearchGate.
4. Web site: Moody's Analytics RiskCalc. live. 2021-10-05. Moody's Analytics. 2023-02-04. https://web.archive.org/web/20230204042356/https://www.moodys.com/sites/products/productattachments/ma_riskcalc_factsheet.pdf.
5. Web site: User Eric Falkenstein. 2021-10-05. Ethereum Stack Exchange. 2023-02-04. https://web.archive.org/web/20230204042354/https://ethereum.stackexchange.com/users/17099/eric-falkenstein. live.
6. News: Mattich. Alen. 2010-12-30. The Best Economics Blogs. en-US. Wall Street Journal. 2021-09-16. 0099-9660. subscription. 2023-02-04. https://web.archive.org/web/20230204042355/https://www.wsj.com/articles/BL-SOURCEB-17775. live.
7. Eric. Falkenstein. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The Journal of Finance. 51. 1. March 1996. live. 2021-09-16. 2023-02-04. https://web.archive.org/web/20230204042357/https://www.jstor.org/stable/i340177.
8. Eric. Falkenstein. Minimizing Basis Risk From Nonparallel Shifts in the Yield Curve. The Journal of Fixed Income. June 1996.
9. Eric. Falkenstein. Value-at-Risk and Derivatives Risk. Derivatives Quarterly. Fall 1997.
10. Web site: September 20, 2009. Tyler. Cowen. Eric Falkenstein's *Finding Alpha*. 2021-10-04. Marginal REVOLUTION. en-US. 2021-10-04. https://web.archive.org/web/20211004152515/https://marginalrevolution.com/marginalrevolution/2009/09/eric-falkensteins-finding-alpha.html. live.
11. Web site: Upbin. Bruce. One Hedge Fund Ace's Essential Investor Reading List. 2021-10-05. Forbes. en.
12. Web site: Falkenblog. live. 2021-09-15. Falkenblog. 2021-09-15. https://web.archive.org/web/20210915194926/https://falkenblog.blogspot.com/p/about-me.html.