Robert Litzenberger is Professor Emeritus at the

Wharton School of the University of Pennsylvania The Wharton School ( ) is the business school of the University of Pennsylvania, a private Ivy League research university in Philadelphia. Established in 1881 through a donation from Joseph Wharton, a co-founder of Bethlehem Steel, the Wharton ...

. 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 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 co ...

Biography

Litzenberger studied at

Wagner College Wagner College is a private university in Staten Island, New York. It was established in 1883 and, as of the 2023–2024 academic year, it enrolled approximately 1,932 students, including 1,592 undergraduates and 340 graduates. Its theatre prog ...

before going on to earn an MBA from the

Wharton School The Wharton School ( ) is the business school of the University of Pennsylvania, a private Ivy League research university in Philadelphia. Established in 1881 through a donation from Joseph Wharton, a co-founder of Bethlehem Steel, the Wharton ...

the University of Pennsylvania The University of Pennsylvania (Penn or UPenn) is a private Ivy League research university in Philadelphia, Pennsylvania, United States. One of nine colonial colleges, it was chartered in 1755 through the efforts of founder and first pr ...

and receiving his PhD from

University of North Carolina at Chapel Hill The University of North Carolina at Chapel Hill (UNC, UNC–Chapel Hill, or simply Carolina) is a public university, public research university in Chapel Hill, North Carolina, United States. Chartered in 1789, the university first began enrolli ...

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, United States. The institution was established in 1900 by Andrew Carnegie as the Carnegie Technical Schools. In 1912, it became the Carnegie Institu ...

'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. The school offers degrees from the undergraduate through doctoral levels, in addition to ...

) for one year. He moved to the

Stanford Business School The Stanford Graduate School of Business 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 school in the United States, adm ...

, 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 ...

. 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 mathe ...

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 (Penn or UPenn) is a Private university, private Ivy League research university in Philadelphia, Pennsylvania, United States. One of nine colonial colleges, it was chartered in 1755 through the efforts of f ...

. He became director of derivative research and quantitative modeling at

Goldman Sachs The Goldman Sachs Group, Inc. ( ) is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered in Lower Manhattan in New York City, with regional headquarters in many internationa ...

. 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 alumni Wharton School of the University of Pennsylvania faculty Wagner College alumni American financial economists Presidents of the American Finance Association