Lisa Goldberg is a financial economist and statistician who serves at the

University of California, Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California) is a public land-grant research university in Berkeley, California. Established in 1868 as the University of California, it is the state's first land-grant u ...

as director of research at the Center for Risk Management Research and as Adjunct Professor of Statistics. She is also the Co-Director for the Consortium for Data Analytics in Risk at

UC Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California) is a public university, public land-grant university, land-grant research university in Berkeley, California. Established in 1868 as the University of Californi ...

Research

In the 1980s, Goldberg studied properties of

dynamical system In mathematics, a dynamical system is a system in which a Function (mathematics), function describes the time dependence of a Point (geometry), point in an ambient space. Examples include the mathematical models that describe the swinging of a ...

s generated by

rational map In mathematics, in particular the subfield of algebraic geometry, a rational map or rational mapping is a kind of partial function between algebraic varieties. This article uses the convention that varieties are irreducible. Definition Formal de ...

s of the

Riemann sphere In mathematics, the Riemann sphere, named after Bernhard Riemann, is a model of the extended complex plane: the complex plane plus one point at infinity. This extended plane represents the extended complex numbers, that is, the complex numbers pl ...

. In 1993, Goldberg left academia to pursue a career in quantitative finance at Barra (now

MSCI MSCI Inc. is an American finance company headquartered in New York City. MSCI is a global provider of equity, fixed income, real estate indexes, multi-asset portfolio analysis tools, ESG and climate products. It operates the MSCI World, MSCI All ...

), and she has been a proponent of research that combines best practices from industry and the university. Early in the 2000s, in collaboration with Kay Giesecke, she developed a top down methodology based on point processes that is used to assess complex credit derivatives. Beginning in 2006, Goldberg, in collaboration with Guy Miller and Jared Weinstein, developed a patented extension of quantitative risk management tools to extreme events and market turbulence.. Goldberg also holds two patents on industry-standard multi-asset class risk models.. and one patent on incomplete information credit models.. Early in the

financial crisis of 2007–08 Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...

, Goldberg warned against the risks associated with the reliance on Gaussian models.

Risk parity Risk parity (or risk premia parity) is an approach to investment management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. The risk parity approach asserts that when asset allocations are ad ...

strategies have been claimed by a number of practitioners to deliver investment performance superior to traditional strategies, and have been especially popular since the

financial crisis of 2007-08 Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fin ...

. In collaboration with Robert M. Anderson (economist) and Stephen Bianchi, Goldberg demonstrated that long-horizon performance of risk parity strategies is qualitatively similar to long-horizon performance of traditional strategies after accounting for realistic financing and trading costs, and that risk parity substantially underperforms traditional strategies in certain time periods. Subsequent research by the same team extends the findings to the more general class of dynamically levered strategies, and it reveals high sensitivity of strategy performance to a previously unidentified source of risk: the co-movement of leverage with return to the underlying portfolio that is levered. They also pointed out that levered strategies involving bonds, including

risk parity Risk parity (or risk premia parity) is an approach to investment management which focuses on allocation of risk, usually defined as volatility, rather than allocation of capital. The risk parity approach asserts that when asset allocations are ad ...

, are very vulnerable in a rising interest rate environment, the precise environment that many analysts predict for the coming years.

Awards

Goldberg received a

Sloan Fellowship The Sloan Research Fellowships are awarded annually by the Alfred P. Sloan Foundation since 1955 to "provide support and recognition to early-career scientists and scholars". This program is one of the oldest of its kind in the United States. ...

in 1987 and a Graham and Dodd Scroll Award for Excellence in Research and Financial Writing in 2012 for ''Financial Analysts Journal''.

Personal life

Goldberg is married to mathematician

Ken Ribet Kenneth Alan Ribet (; born June 28, 1948) is an American mathematician working in algebraic number theory and algebraic geometry. He is known for the Herbrand–Ribet theorem and Ribet's theorem, which were key ingredients in the proof of Fermat's ...

Publications

Book

Articles

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References

{{DEFAULTSORT:Goldberg, Lisa University of California, Berkeley faculty American statisticians Women statisticians Living people Sloan Research Fellows American women mathematicians University of Rochester alumni Brandeis University alumni Year of birth missing (living people)