Robert Litzenberger is Professor Emeritus at the

Wharton School of the University of Pennsylvania The Wharton School of the University of Pennsylvania ( ; also known as Wharton Business School, the Wharton School, Penn Wharton, and Wharton) is the business school of the University of Pennsylvania, a Private university, private Ivy League rese ...

. He is best known for establishing the use of

state price In financial economics, a state-price security, also called an Arrow–Debreu security (from its origins in the Arrow–Debreu model), a pure security, or a primitive security is a contract that agrees to pay one unit of a numeraire (a currency or ...

s in

financial economics 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"Financial ...

Biography

Litzenberger studied at

Wagner College Wagner College is a private liberal arts college in Staten Island, New York City. Founded in 1883 and with an enrollment of approximately 2,200 students, Wagner is known for its academic program, The Wagner Plan for the Practical Liberal Arts. It ...

before going on to earn an MBA from the

Wharton School The Wharton School of the University of Pennsylvania ( ; also known as Wharton Business School, the Wharton School, Penn Wharton, and Wharton) is the business school of the University of Pennsylvania, a private Ivy League research university in P ...

the University of Pennsylvania The University of Pennsylvania (also known as Penn or UPenn) is a private research university in Philadelphia. It is the fourth-oldest institution of higher education in the United States and is ranked among the highest-regarded universitie ...

and receiving his PhD from

University of North Carolina at Chapel Hill A university () is an institution of higher (or tertiary) education and research which awards academic degrees in several academic disciplines. Universities typically offer both undergraduate and postgraduate programs. In the United States ...

three years later in 1969. Litzenberger served on the faculty of

Carnegie Mellon University Carnegie Mellon University (CMU) is a private research university in Pittsburgh, Pennsylvania. One of its predecessors was established in 1900 by Andrew Carnegie as the Carnegie Technical Schools; it became the Carnegie Institute of Technology ...

's Graduate school of Industrial Administration (now the

Tepper School of Business The Tepper School of Business is the business school of Carnegie Mellon University. It is located in the university's campus in Pittsburgh, Pennsylvania, US. The school offers degrees from the undergraduate through doctoral levels, in addition t ...

) for one year. He moved to the

Stanford Business School The Stanford Graduate School of Business (also known as Stanford GSB) is the graduate business school of Stanford University, a private research university in Stanford, California. For several years it has been the most selective business schoo ...

, where he earned tenure and a chaired professorship. In 1986 he returned to the Wharton School, while taking the part-time position of director of research and chief economist at

AIG Financial Products AIG Financial Products Corporation (AIGFP) is a subsidiary of the American International Group, headquartered in New York, New York, with major operations in London. The collapse of AIG Financial Products, headquartered in Wilton, Connecticut, is co ...

. He used his experience there to develop the first

financial engineering Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathema ...

course to be offered at Penn. Litzenberger retired from academia in 1995, taking the emeritus title at the

University of Pennsylvania The University of Pennsylvania (also known as Penn or UPenn) is a private research university in Philadelphia. It is the fourth-oldest institution of higher education in the United States and is ranked among the highest-regarded universitie ...

. He became director of derivative research and quantitative modeling at

Goldman Sachs Goldman Sachs () is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered at 200 West Street in Lower Manhattan, with regional headquarters in London, Warsaw, Bangalore, H ...

. He later served as risk manager in 1998 and became a partner in 1999, shortly before Goldman's

IPO An initial public offering (IPO) or stock launch is a public offering in which shares of a company are sold to institutional investors and usually also to retail (individual) investors. An IPO is typically underwritten by one or more investment ...

. After the attacks on 9/11, Litzenberger stepped back from an active role at Goldman. He is retired, living in rural Pennsylvania with his wife Amy.

References

{{DEFAULTSORT:Litzenberger, Robert 1943 births Living people Carnegie Mellon University faculty Goldman Sachs people Stanford University faculty University of North Carolina at Chapel Hill alumni Wharton School of the University of Pennsylvania alumni Wharton School of the University of Pennsylvania faculty Wagner College alumni Financial economists Presidents of the American Finance Association