Sanford J. Grossman Explained

Sanford J. Grossman
School Tradition:	Chicago School of Economics
Birth Date:	21 July 1953
Nationality:	American
Institution:	University of Pennsylvania
Field:	Quantitative finance
Alma Mater:	University of Chicago
Doctoral Advisor:	Arnold Zellner
Repec Prefix:	e
Repec Id:	pgr108

Sanford "Sandy" Jay Grossman (born July 21, 1953) is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shut down its sole remaining hedge fund in January 2014.^[1]

Academic career

Sanford Grossman earned his A.B. in 1973, his A.M. in 1974 and Ph.D. in 1975, all in economics from the University of Chicago.^[2] Since receiving his doctorate, he has held academic appointments at Stanford University, the University of Chicago, Princeton University (as the John L. Weinberg Professor of Economics, 1985–89), and at the University of Pennsylvania’s Wharton School of Business. At Wharton, Grossman held the position of Steinberg Trustee Professor of Finance from 1989 to 1999 (a title now held in Emeritus) and also served as the Director of the Wharton Center for Quantitative Finance (1994–1999).

Professional career

Grossman served as an Economist with the Board of Governors of the Federal Reserve System (1977–78), and was a Public Director of the largest U.S. options and futures exchange, the Chicago Board of Trade (1992–96). In 1988, he was elected a Director, in 1992 served as Vice President, and in 1994 was President of the American Finance Association.

Grossman formed an affiliate of QFS Asset Management, L.P. in 1988.^[1] The firm is based in Greenwich, Connecticut, and is an alternative investment management firm that uses financial investment models based on Grossman's research in economics and quantitative finance. The firm specializes in global macro and foreign exchange investment strategies.

Awards

Grossman’s original contributions to economic research received official recognition when he was awarded the John Bates Clark Medal by the American Economic Association at its December 1987 annual meeting. That same year the Q-Group awarded him first prize in The Roger F. Murray Prize^[3] competition for the paper “An Analysis of the Implications for Stock and Future Price Volatility of Program Trading and Dynamic Hedging Strategies.” The Editorial Board of the Financial Analysts Journal awarded him the 1988 Graham and Dodd Scroll for “Program Trading and Market Volatility: A Report on Interday Relationships.” Grossman received a Mathematical Finance 1993 Best Paper Award for his article “Optimal Investment Strategies for Controlling Drawdowns.” Grossman received the 1996 Leo Melamed Prize by the University of Chicago Graduate School of Business for outstanding scholarship by a professor. In 2002, Grossman was recognized by the University of Chicago with its Professional Achievement Citation. Most recently, he was awarded the 2009 CME Group-MSRI Prize in Innovative Quantitative Applications.^[4]

Publications

Books:

Books:

• Book: Sanford J. Grossman . The Informational Role of Prices . The MIT Press . 1989 . 978-0-262-07121-5 .

Articles:

• Sanford J. Grossman . Joseph Stiglitz . Joseph Stiglitz . On the Impossibility of Informationally Efficient Markets . . 1980 . 70 . 3 . 393–408 .
• Sanford J. Grossman . Rational Expectations and the Economic Modeling of Markets Subject to Uncertainty: A Bayesian Approach . . 1975 . 3 . 3 . 255–272 . 10.1016/0304-4076(75)90035-4 .
• Book: Sanford J. Grossman . Equilibrium Under Uncertainty and Bayesian Adaptive Control Theory . R. Day . T. Groves . Academic Press . 1975 . 978-0-12-207350-2 . 279–307 . Adaptive Economic Models .
• Sanford J. Grossman . On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information . . 1976 . 31 . 2 . 573–584 . 10.2307/2326627 . 2326627 .
• Sanford J. Grossman . Joseph Stiglitz . Joseph Stiglitz . Information and Competitive Price Systems . . 1976 . 66 . 2 . 246–253 .
• Sanford J. Grossman . Joseph Stiglitz . Joseph Stiglitz . On Value Maximization and Alternative Objectives of the Firm Information and Competitive Price Systems . . 1977 . 32 . 2 . 389–402 . 10.1111/j.1540-6261.1977.tb03278.x.
• Sanford J. Grossman . A Characterization of the Optimality of Equilibrium in Incomplete Markets . . 1977 . 15 . 2 . 1–15 . 10.1016/0022-0531(77)90063-1 .
• Sanford J. Grossman . The Existence of Future Markets, Noisy Rational Expectations and Informational Externalities . . 1977 . 64 . 3 . 431–449 .
• Sanford J. Grossman . Richard Kihlstrom . Leonard Mirman . A Bayesian Approach to the Production of Information and Learning by Doing . . 1977 . 64 . 3 . 533–547 .
• Sanford J. Grossman . Further Results on the Informational Efficiency of Competitive Stock Markets . . 1978 . 18 . 1 . 81–101 . 10.1016/0022-0531(78)90043-1 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . A Theory of Competitive Equilibrium in Stock Market Economies . . 1979 . 47 . 2 . 293–330 . 10.2307/1914186 . 1914186 .
• Book: Sanford J. Grossman . D. Levhari . Leonard Mirman . Consumption under Uncertainty . Green . Scheinkman . Academic Press . 1979 . 978-0-12-298750-2 . 105–124 . General Equilibrium, Growth, and Trade .
• Sanford J. Grossman; Joseph E. Stiglitz. (1980). "On the Impossibility of Informationally Efficient Markets." The American Economic Review 70 (3). https://www.jstor.org/stable/1805228
• Book: Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Take-Over Bids: The Managerial Theory of the Firm and the Free Rider Problem . David A. Currie . William Peters . Croom Helm London . 1980 . 978-0-85664-803-8 . 461–468 . Contemporary Economic Analysis .
• Sanford J. Grossman . Joseph Stiglitz . Joseph Stiglitz . Stockholder Unanimity in Making Production and Financial Decisions . . 1980 . 94 . 3 . 543–566 . 10.2307/1884584 . 1884584 . 53395457 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Disclosure Laws and Takeover Bids . . 1980 . 35 . 323–334 . 10.2307/2327390 . 2 . 2327390 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation . . 1980 . 11 . 1 . 42–64 . 10.2307/3003400. 3003400 .
• Sanford J. Grossman . Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs . . 1981 . 1149–1172 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Implicit Contracts, Moral Hazard and Unemployment . . 1981 . 71 . 2 . 301–307 .
• Sanford J. Grossman . Robert Shiller . Robert Shiller . The Determinants of the Variability of Stock Market Prices . . 1981 . 71 . 2 . 222–227 . 10.3386/w0564. free .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . The Allocational Role of Takeover Bids in Situations of Asymmetric Information . . 1981 . 36 . 2 . 253–270 . 10.2307/2327007 . 2327007 .
• Sanford J. Grossman . An Introduction to the Theory of Rational Expectations Under Asymmetric Information . . 1981 . 48 . 541–559 . 10.2307/2297195 . 4 . 2297195 .
• Sanford J. Grossman . The Informational Role of Warranties and Private Disclosure About Product Quality . . 1981 . 461–483 .
• Book: Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Corporate Financial Structure and Managerial Incentives . John McCall . University of Chicago Press . 1982 . 978-0-226-55559-1 . 107–140 . The Economics of Information and Uncertainty .
• Sanford J. Grossman . L. Weiss . Heterogeneous Information and the Theory of the Business Cycle . . 1982 . 90 . 4 . 699–727 . 10.1086/261085 . 153507579 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . An Analysis of the Principal-Agent Problem . . 1983 . 51 . 1 . 7–46 . 10.2307/1912246 . 1912246 . 10.1.1.190.2716 .
• Sanford J. Grossman . Robert Shiller . Robert Shiller . Consumption Correlatedness and Risk Measurement in Economies with Non-Traded Assets, and Heterogeneous Information . . 1982 . 10 . 2 . 195–210 . 10.1016/0304-405X(82)90013-7 .
• Book: Sanford J. Grossman . L. Weiss . Monetary Non-Neutrality When Prices are Observable . Marshall Sarnal . Girogio Szego . Ballinger Publishing Co . 1982 . 978-0-88410-851-1 . 313–314 . Savings, Investment, and Capital Markets in an Inflationary Economy .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Implicit Contracts under Asymmetric Information . . 1983 . 98 . 123–156 . 10.2307/1885377 . 1885377 .
• Book: Sanford J. Grossman . David S. Evans . David S. Evans . Integration . David Evans . North Holland Publishing Co . 1983 . 978-0-444-00734-6 . 95–126 . Breaking Up Bell, Essays on Industrial Organization and Regulation .
• Sanford J. Grossman . L. Weiss . A Transactions Based Model of the Monetary Transmission Mechanism . . 1983 . 73 . 5 . 871–880 . 10.3386/w0973. free .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Eric Maskin . Eric Maskin . Unemployment with Observable Aggregate Shocks . . 1983 . 91 . 907–928 . 10.1086/261193 . 6 . 4865344 .
• Book: Sanford J. Grossman . L. Weiss . Savings and Insurance . M. Boyer . R. Kihlstrom . Elsevier Science Publishers . 1984 . 978-0-444-86502-1 . 303–311 . Bayesian Models in Economic Theory .
• Sanford J. Grossman . Daniel R. Fischel . Daniel R. Fischel . Customer Protection in Futures and Securities Markets . . 1984 . 4 . 3 . 273–295 . 10.1002/fut.3990040303 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . The Costs and Benefits of Ownership: A Theory of Vertical Integration . . 1986 . 94 . 4 . 691–719 . 10.1086/261404 . 215807368 .
• Sanford J. Grossman . Merton Miller . Merton Miller . Economic Costs and Benefits of the Proposed One-Minute Time Bracketing Regulations . . 1986 . 6 . 1 . 141–166 . 10.1002/fut.3990060112 .
• Sanford J. Grossman . An Analysis of the Role of 'Insider Trading' on Futures Markets . . 1986 . 59 . 2 . 5129–5146 . 10.1086/296342.
• Book: Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . Vertical Integration and the Distribution of Property Rights . Razin . Sadka . The Macmillan Press . 1987 . 978-0-312-23453-9 . 504–546 . Economic Policy in Theory and Practice .
• Sanford J. Grossman . Motty Perry . Motty Perry . Sequential Bargaining Under Asymmetric Information . . 1986 . 39 . 1 . 120–154 . 10.1016/0022-0531(86)90023-2 . 154201801 .
• Sanford J. Grossman . Motty Perry . Motty Perry . Perfect Sequential Equilibrium . . 1986 . 39 . 1 . 97–119 . 10.1016/0022-0531(86)90022-0 .
• Book: Sanford J. Grossman . Monetary Dynamics with Proportional Transactions Cost and Fixed Payment Periods . William Barnett . Kenneth Singleton . Cambridge University Press . 1987 . 978-0-521-10049-6 . 3–40 . New Approaches to Monetary Economics .
• Sanford J. Grossman . A. Melino . Robert Shiller . Robert Shiller . Estimating the Continuous-Time Consumption-Based Asset-Pricing Model . . 1987 . 5 . 3 . 315–327 . 10.2307/1391605 . 1391605 .
• Sanford J. Grossman . Program Trading and Stock and Futures Price Volatility . . 1988 . 8 . 4 . 413–419 . 10.1002/fut.3990080403 .
• Sanford J. Grossman . Oliver Hart . Oliver Hart (economist) . One Share/One Vote and the Market for Corporate Control . . 1988 . 20 . 1/2 . 175–202 . 10.1016/0304-405X(88)90044-X . 1721.1/63929 . 154323643 . free .
• Sanford J. Grossman . An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies . . 1988 . 61 . 3 . 275–298 . 10.1086/296433 . 153761795 .
• Sanford J. Grossman . Insurance Seen and Unseen . . 1988 . 14 . 5–8 . 10.3905/jpm.1988.409164 . 4 . 153838612 .
• Sanford J. Grossman . Merton Miller . Merton Miller . Liquidity and Market Structure . . 1988 . 43 . 617–637 . 10.2307/2328186 . 3 . 2328186 .
• Sanford J. Grossman . Program Trading and Market Volatility: A Report on Interday Relationships . Financial Analysts Journal . 1988 . 18–28 .
• Sanford J. Grossman . Derivative Securities, Dynamic Hedging and Stock Market Volatility . MTEC Journal . 1988 . 1 . 1–15 .
• Book: Sanford J. Grossman . Rational Expectations and the Informational Role of Prices . Robert J. Barro . Harvard University Press . 1989 . 978-0-674-57860-9 . 128–152 . Modern Business Cycle Theory .
• Sanford J. Grossman . Informational Tactical Asset Allocation . MTEC Journal . 1989 . 2 . 7–24 .
• Sanford J. Grossman . Jean Luc Vila . Portfolio Insurance in Complete Markets: A Note . . 1989 . 62 . 4 . 473–476 . 10.1086/296473 .
• Sanford J. Grossman . Guy Laroque . Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods . . 1990 . 58. 1 . 25–51 . 10.2307/2938333 . 2938333 . 154575467 .
• Book: Sanford J. Grossman . Trading Technology and Financial Market Stability . Daniel R. Siegel . Irwin Professional Publishing . 1990 . 978-1-55738-120-0 . 47–57 . Innovation and Technology in the Markets: A Reordering of the World's Capital Market Systems .
• Sanford J. Grossman . Market Liquidity and Trading Technology . MTEC Journal . 1990 . 3 . 7–17 .
• Sanford J. Grossman . Jean-Luc Vila . Optimal Dynamic Trading with Leverage Constraints . . 1992 . 27 . 2 . 151–168 . 10.2307/2331365 . 2331365 . 153640177 .
• Sanford J. Grossman . Dynamic Leveraging Strategies and the Risk/Return Profile of Professionally Managed Futures -- Including a Commentary on Elton, Gruber, and Rentzier's Evaluation of Commodity Funds . MFA Journal . 1991 . 6 . 2 . 51–56 .
• Sanford J. Grossman . The Informational Role of Upstairs and Downstairs Trading . . 1992 . 65 . 4 . 509–528 . 10.1086/296583 .
• Sanford J. Grossman . Informational Portfolio Strategies for Dynamic Asset Allocation . MTEC Journal . 1992 . 5 . 3–15 .
• Sanford J. Grossman . The Case for Eliminating Position Limits on Financial Futures . Journal of Financial Engineering . 1992 . 2 . 1 . 39–42 .
• Sanford J. Grossman . A Proposal for the Reform of Disclosure Requirements for Managed Futures . Journal of Financial Engineering . 1992 . 2 . 1 . 55–58 .
• Sanford J. Grossman . Zhongquan Zhou . Optimal Investment Strategies for Controlling Drawdowns . . 1993 . 3 . 3 . 241–276 . 10.1111/j.1467-9965.1993.tb00044.x .
• Sanford J. Grossman . John Y. Campbell . John Y. Campbell . Jiang Wang . Trading Volume and Serial Correlation in Stock Returns . . 1993 . CVIII . 4 . 905–939 . 10.3386/w4193. free .
• Sanford J. Grossman . Dynamic Asset Allocation and the Informational Efficiency of Markets . . 1995. L . 3 . 773–787 . 10.1111/j.1540-6261.1995.tb04036.x. 10.1.1.508.6741 .
• Sanford J. Grossman . Zhongquan Zhou . Equilibrium Analysis of Portfolio Insurance . . 1996 . LI . 4 . 1379–1403 . 10.1111/j.1540-6261.1996.tb04073.x.

External links

• Profile at University of Pennsylvania's Wharton School of Business
• List of publications at University of Connecticut's Economics and Finance Research web site
• Interview with hedge fund newsletter
• List of publications at New School web site

Notes and References

1. News: QFS Asset Management Shuts Currency Hedge Fund. Nicole Hong and Rob Copeland. The Wall Street Journal . January 14, 2014.
2. News: Grossman donates QFS stake to University of Chicago. Lawrence Delevigne. . January 25, 2011.
3. Web site: Welcome to Q Group. Q-group.org. 2015-11-28.
4. http://www.msri.org/communications/pressrelease/attachments/090911_CME_Group-MSRI_Prize_recipient_announced_Press_Release.pdf