Eric Falkenstein
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
[edit | edit source]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
[edit | edit source]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][independent 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.[5]
Writing
[edit | edit source]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
[edit | edit source]Eric has been a libertarian and became a Christian in March 2016. He is married and has three children.[12][self-published source]
References
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