Stephen Bianchi

University of California, Berkeley

530 Evans Hall

MC #3880

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 21,120

SSRN RANKINGS

Top 21,120

in Total Papers Downloads

2,503

SSRN CITATIONS
Rank 45,817

SSRN RANKINGS

Top 45,817

in Total Papers Citations

12

CROSSREF CITATIONS

1

Scholarly Papers (6)

1.

Will My Risk Parity Strategy Outperform?

Number of pages: 30 Posted: 08 Jul 2012 Last Revised: 17 Aug 2012
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 799 (33,189)
Citation 10

Abstract:

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Risk parity, value weighting, fixed mix, leverage, turnover, trading costs, borrowing costs, market frictions, statistical significance, outperformance, Sharpe ratio

2.

What Would Yale Do If It Were Taxable?

Financial Analysts Journal, Vol. 71, No. 4, 2015
Number of pages: 26 Posted: 09 Jun 2014 Last Revised: 11 Aug 2015
Patrick Geddes, Lisa R. Goldberg and Stephen Bianchi
Aperio Group, University of California, Berkeley and University of California, Berkeley
Downloads 653 (43,465)
Citation 2

Abstract:

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asset allocation, taxes, ultra-high net worth investors, endowments, hedge funds, tax-advantaged indexing, reverse optimization, equity-hedge fund correlation

3.

Determinants of Levered Portfolio Performance

Financial Analysts Journal, Forthcoming
Number of pages: 36 Posted: 12 Jul 2013 Last Revised: 21 Apr 2014
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 580 (50,784)
Citation 1

Abstract:

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Dynamic leverage, source portfolio, transaction costs, borrowing excess return, pension funds, hedge funds, trading costs, volatility target, leverage rule

4.

Looking Under the Hood: What Does Quantile Regression Tell Us About the Low-Beta Anomaly?

Number of pages: 54 Posted: 15 Apr 2014 Last Revised: 12 May 2014
Stephen Bianchi
University of California, Berkeley
Downloads 244 (137,565)

Abstract:

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5.

In Search of Statistically Valid Risk Factors

Number of pages: 20 Posted: 16 Dec 2012 Last Revised: 04 Aug 2014
Robert M. Anderson, Stephen Bianchi and Lisa R. Goldberg
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 227 (147,608)

Abstract:

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Factor volatility, variance, statistical significance, leverage point, beta, OLS regression, median regression, t-statistic, incremental explanatory power, outlier, VIX, FVIX

6.

The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2017.43.5.147
Posted: 26 Jun 2016 Last Revised: 22 May 2019
Stephen Bianchi, Lisa R. Goldberg and Allan Rosenberg
University of California, Berkeley, University of California, Berkeley and State Steet Global Exchange

Abstract:

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estimation error, latent factor model, simulation, minimum variance portfolio, equally weighted portfolio, underforecast