Eric Falkenstein (born 14 August 1965) is an American

financial economist Financial economics, also known as finance, is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade". William F. Sharpe"Financia ...

and an expert in the field of

low-volatility investing Low-volatility investing is an investment style that buys stocks or securities with low volatility and avoids those with high volatility. This investment style exploits the low-volatility anomaly. According to financial theory risk and return should ...

. He is an academic researcher,

blogger A blog (a truncation of "weblog") is a discussion or informational website published on the World Wide Web consisting of discrete, often informal diary-style text entries (posts). Posts are typically displayed in reverse chronological order s ...

, quant portfolio manager, and book author.

Education

Falkenstein received his economics PhD from

Northwestern University Northwestern University is a private research university in Evanston, Illinois. Founded in 1851, Northwestern is the oldest chartered university in Illinois and is ranked among the most prestigious academic institutions in the world. Charte ...

in 1994, and wrote his dissertation on the low return to high volatility stocks.

Career

He was a

teaching assistant A teaching assistant or teacher's aide (TA) or education assistant (EA) or team teacher (TT) is an individual who assists a teacher with instructional responsibilities. TAs include ''graduate teaching assistants'' (GTAs), who are graduate school ...

for

Hyman Minsky Hyman Philip Minsky (September 23, 1919 – October 24, 1996) was an American economist, a professor of economics at Washington University in St. Louis, and a distinguished scholar at the Levy Economics Institute of Bard College. His research att ...

Washington University in St. Louis Washington University in St. Louis (WashU or WUSTL) is a private research university with its main campus in St. Louis County, and Clayton, Missouri. Founded in 1853, the university is named after George Washington. Washington University is r ...

. He set up a

value at risk Value at risk (VaR) is a measure of the risk of loss for investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. VaR is typically used by ...

system for trading operations at

KeyCorp KeyBank, the primary subsidiary of KeyCorp, is a regional bank headquartered in Cleveland, Ohio, and is the only major bank based in Cleveland. KeyBank is one of the largest banks in the United States. Key's customer base spans retail, small ...

bank, then a firm-wide economic risk capital allocation methodology. He was a founding researcher of RiskCalc,

Moody's Moody's Investors Service, often referred to as Moody's, is the bond credit rating business of Moody's Corporation, representing the company's traditional line of business and its historical name. Moody's Investors Service provides international ...

private firm default

probability model A statistical model is a mathematical model that embodies a set of statistical assumptions concerning the generation of sample data (and similar data from a larger population). A statistical model represents, often in considerably idealized form, ...

, the premier private firm default model in the world. He has been an equity

portfolio manager A portfolio manager (PM) is a professional responsible for making investment decisions and carrying out investment activities on behalf of vested individuals or institutions. Clients invest their money into the PM's investment policy for future grow ...

at Pine River Capital Management and developed trading algorithms for Walleye Software. He is currently working on

Ethereum Ethereum is a decentralized, open-source blockchain with smart contract functionality. Ether (Abbreviation: ETH; sign: Ξ) is the native cryptocurrency of the platform. Among cryptocurrencies, ether is second only to bitcoin in market capita ...

contracts.

Writing

Falkenstein has blogged for many years and was among the top influencer bloggers according to the

Wall Street Journal ''The Wall Street Journal'' is an American business-focused, international daily newspaper based in New York City, with international editions also available in Chinese and Japanese. The ''Journal'', along with its Asian editions, is published ...

. He has written articles that were published in ''

The Journal of Finance ''The Journal of Finance'' is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946 and is considered to be one of the premier finance journals. The editor-in-chief i ...

'', ''

The Journal of Fixed Income ''The Journal of Fixed Income'' is a quarterly academic journal that covers quantitative research on fixed income instruments: mortgage-backed securities, high-yield debt, municipal bonds, corporate bonds, asset-backed securities, and global bo ...

'' and ''Derivatives Quarterly''. He has written two books: ''Finding Alpha: The Search for Alpha When Risk and Return Break Down'' (Wiley, 2009) and

self-published Self-publishing is the publication of media by its author at their own cost, without the involvement of a publisher. The term usually refers to written media, such as books and magazines, either as an ebook or as a physical copy using POD (pri ...

''The Missing Risk Premium: Why Low Volatility Investing Works'' in 2012. his

h-index The ''h''-index is an author-level metric that measures both the productivity and citation impact of the publications, initially used for an individual scientist or scholar. The ''h''-index correlates with obvious success indicators such as winn ...

was 14. His most cited publications are: *Falkenstein EG. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. ''

The journal of finance ''The Journal of Finance'' is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946 and is considered to be one of the premier finance journals. The editor-in-chief i ...

''. 1996 Mar;51(1):111-35. (Cited 1376 times, according to

Google Scholar Google Scholar is a freely accessible web search engine that indexes the full text or metadata of scholarly literature across an array of publishing formats and disciplines. Released in beta in November 2004, the Google Scholar index includes p ...

) *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. ) *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. )

Personal life

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

References

Financial economists 1969 births Living people Northwestern University alumni Washington University in St. Louis people {{US-business-bio-1960s-stub