Eric Falkenstein (born 14 August 1965) is an American

financial economist Financial economics 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 Economics", in Its c ...

and an expert in the field of

low-volatility investing Low-volatility investing is an investment style that buys Stock market, stocks or Security (finance), securities with low volatility and avoids those with high volatility. This investment style exploits the low-volatility anomaly. According to Capit ...

. He is an academic researcher,

blogger A blog (a Clipping (morphology), truncation of "weblog") is an informational website consisting of discrete, often informal diary-style text entries also known as posts. Posts are typically displayed in Reverse chronology, reverse chronologic ...

, quant portfolio manager, and book author.

Education

Falkenstein received his economics PhD from

Northwestern University Northwestern University (NU) is a Private university, private research university in Evanston, Illinois, United States. Established in 1851 to serve the historic Northwest Territory, it is the oldest University charter, chartered university in ...

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

Career

He was a

teaching assistant A teaching assistant (TA) or education assistant (EA) is an individual who assists a professor or teacher with instructional responsibilities. TAs include ''graduate teaching assistants'' (GTAs), who are graduate students; ''undergraduate teach ...

for

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

at Washington University in St. Louis. He set up a

value at risk Value at risk (VaR) is a measure of the risk of loss of investment/capital. 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 us ...

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 Moody's Ratings, previously and still legally known as Moody's Investors Service and 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 histo ...

private firm default probability model, 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 gr ...

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

Ethereum Ethereum is a decentralized blockchain with smart contract functionality. Ether (abbreviation: ETH) is the native cryptocurrency of the platform. Among cryptocurrencies, ether is second only to bitcoin in market capitalization. It is open-s ...

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'' (''WSJ''), also referred to simply as the ''Journal,'' is an American newspaper based in New York City. The newspaper provides extensive coverage of news, especially business and finance. It operates on a subscriptio ...

. 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. The editor-in-chief is Antoinette Schoar. According to the ''Journal Citation R ...

'', '' The Journal of Fixed Income'' 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 ''The Missing Risk Premium: Why Low Volatility Investing Works'' in 2012.

Personal life

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

References

American financial economists 1969 births Living people Northwestern University alumni Washington University in St. Louis alumni Tony Award winners {{US-business-bio-1960s-stub