Quick Facts
Biography
Eric Falkenstein (born 14 August 1965) is an American financial economist and an expert in the field of low-volatility investing. He is an academic researcher, blogger, quant portfolio manager, and book author.
Education
Falkenstein received his economics PhD from Northwestern University in 1994, and wrote his dissertation on the low return to high volatility stocks.
Career
He was a teaching assistant for Hyman Minsky at Washington University in St. Louis. He set up a value at risk 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 private firm default probability model, the premier private firm default model in the world. He has been an equity portfolio manager at Pine River Capital Management and developed trading algorithms for Walleye Software. He is currently working on Ethereum contracts.
Writing
Falkenstein has blogged for many years and was among the top influencer bloggers according to the Wall Street Journal. He has written articles that were published in The Journal of Finance, 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.
As of September 2021 his h-index was 14.
His most cited publications are:
- Falkenstein EG. Preferences for stock characteristics as revealed by mutual fund portfolio holdings. The journal of finance. 1996 Mar;51(1):111-35. (Cited 1376 times, according to Google Scholar)
- 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.