Ludwig B. Chincarini

University of San Francisco School of Management

Associate Professor

San Francisco, CA 94102

United States

University of San Francisco - School of Business and Management

San Francisco, CA 94117

United States

SCHOLARLY PAPERS

29

DOWNLOADS
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Top 2,062

in Total Papers Downloads

13,098

CITATIONS
Rank 24,093

SSRN RANKINGS

Top 24,093

in Total Papers Citations

11

Scholarly Papers (29)

1.

A Comparison of Quantitative and Qualitative Hedge Funds

Number of pages: 50 Posted: 08 Jan 2010 Last Revised: 01 Mar 2010
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,947 (5,267)
Citation 1

Abstract:

quantitative portfolio management, alpha, hedge funds, returns

2.

Natural Gas Futures and Spread Position Risk: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Spring/Summer 2008
Number of pages: 61 Posted: 20 Mar 2008 Last Revised: 14 Apr 2015
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,447 (8,436)

Abstract:

Amaranth, Hedge Funds, Risk Management, Liquidity Risk

3.

The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management?

Number of pages: 49 Posted: 21 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,383 (8,724)
Citation 4

Abstract:

Amaranth, hedge funds, natural gas futures, options, risk measurement

4.

The Amaranth Debacle: What Really Happened

Journal of Alternative Investments, Forthcoming
Number of pages: 34 Posted: 24 Oct 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,335 (10,140)

Abstract:

Natural gas, futures, options, hedge funds

5.

The Failure of Long-Term Capital Management

Number of pages: 16 Posted: 19 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 1,161 (12,026)
Citation 1

Abstract:

long-term capital management, ltcm, hedge funds, collapse, financial risk

6.

Riding the Yield Curve: Diversification of Strategies

Number of pages: 77 Posted: 06 Jun 2004
David S. Bieri and Ludwig B. Chincarini
Virginia Polytechnic Institute & State University - School of Public and International Affairs (SPIA) and University of San Francisco School of Management
Downloads 920 (17,156)

Abstract:

Term Structure of Interest Rates, Market Efficiency, Taylor Rule, Expectations

7.

The Effectiveness of Global Currency Hedging After the Asian Crisis

Journal of Asset Management, Forthcoming
Number of pages: 31 Posted: 08 Feb 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 352 (66,668)

Abstract:

Currency hedging, futures, global portfolios

8.

Crowded Spaces and Copycat Risk Management

Number of pages: 73 Posted: 14 Jun 2015
Salvatore Bruno, Ludwig B. Chincarini and Jesse Davis
IndexIQ, University of San Francisco School of Management and Independent
Downloads 348 (47,781)

Abstract:

Risk management, crowding, crowded spaces,copycat trading, quantitative equity

9.

No Chills or Burns from Temperature Surprises: An Empirical Analysis of the Weather Derivatives Market

Number of pages: 49 Posted: 11 Feb 2009 Last Revised: 19 Jan 2010
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 302 (80,553)
Citation 1

Abstract:

Weather derivatives, weather forecasting, market efficiency, HDD, CDD

10.

Uses and Misuses of the Black-Litterman Model in Portfolio Construction

Number of pages: 47 Posted: 19 Dec 2012
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 297 (82,146)

Abstract:

Black-Litterman, Bayes rule, Portfolio Construction, Econometric techniques, simulations

11.

Hedge Funds: The Misunderstood Investment Vehicle

THE RESEARCH HANDBOOK ON HEDGE FUNDS, PRIVATE EQUITY AND ALTERNATIVE INVESTMENTS, Edward Elgar Publishing, 2011
Number of pages: 65 Posted: 23 Mar 2011
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 289 (77,208)

Abstract:

Hedge Funds, Alternative Assets, Regulation, Performance

12.

Volume and Return Information on Individual Stocks

Number of pages: 38 Posted: 17 Feb 2006
Ludwig B. Chincarini and Guillermo Llorente
University of San Francisco School of Management and Universidad Autonoma de Madrid
Downloads 273 (87,396)
Citation 1

Abstract:

Volume information,Trading Strategies,Technical Analysis, Momentum

13.

Forecasting Volatility and Asset Allocation: Are Garch-Type Models Useful?

Number of pages: 22 Posted: 26 Jun 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 228 (97,890)

Abstract:

GARCH, Forecasting, Asset Allocation, Implied Volatility

14.

The Expectations Theory in the Money Market: Details Matter

Number of pages: 19 Posted: 17 Feb 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 226 (94,722)

Abstract:

money markets, expectations theory of term structure, fixed income

15.

Hedging Inflation Internationally

Number of pages: 63 Posted: 18 Jan 2010 Last Revised: 02 Mar 2010
Salvatore Bruno and Ludwig B. Chincarini
IndexIQ and University of San Francisco School of Management
Downloads 212 (106,681)
Citation 2

Abstract:

Real returns, inflation, hedging, asset allocation

16.

Measuring Hedge Fund Timing Ability Across Factors

Number of pages: 47 Posted: 29 Jan 2010
Alex Nakao and Ludwig B. Chincarini
affiliation not provided to SSRN and University of San Francisco School of Management
Downloads 144 (153,216)
Citation 1

Abstract:

Hedge Funds, Returns, Market Timing, Factor Analysis

17.

Experimental Evidence of Trigger Strategies in Repeated Games

Rydex Working Paper
Number of pages: 17 Posted: 24 Sep 2003
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 136 (167,743)

Abstract:

Trigger Strategies, Prisoner's Dilemma

18.

Technical Appendix to Real-Business-Cycle Models and the Forecastable Movements in Output, Hours, and Consumption

Number of pages: 18 Posted: 28 Dec 2006
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 126 (182,245)

Abstract:

19.

An Analytical Model for the Formation of Economic Clusters

Number of pages: 43 Posted: 17 Feb 2006
Ludwig B. Chincarini and Neer R. Asherie
University of San Francisco School of Management and Yeshiva University
Downloads 107 (200,275)
Citation 1

Abstract:

Cities, Agglomeration, Edge Cities, Mathematical Modelling, Trade Theory

20.

The Advantages of Tax Managed Investing (Note: Corrected Tables)

Journal of Portfolio Management, Fall 2001
Number of pages: 46 Posted: 03 Jun 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 104 (190,286)

Abstract:

Taxes, Investing, Tax Harvesting, Synthetic Dividends

21.

Trading Futures to Manage Risk

Investment Risk Management, H. Kent Baker & Greg Filbeck, Wiley, March 2013
Number of pages: 44 Posted: 03 Oct 2013
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 95 (197,695)

Abstract:

futures, hedging, managing risk, commodities, equities, portfolio management

22.

Flexible Insurance for Separate Accounts

Number of pages: 32 Posted: 10 May 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 84 (244,737)

Abstract:

Portfolio Protection, Portfolio Insurance, Hedging, Options

23.

Wages and Knowledge Transfer

Rydex Working Paper
Number of pages: 19 Posted: 15 Jul 2003 Last Revised: 16 Aug 2013
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 81 (246,557)

Abstract:

Wages, knowledge transfer, employment

24.

Hedging Inflation Internationally Supplemental Appendix

Number of pages: 102 Posted: 17 Jan 2010 Last Revised: 20 Jan 2010
Salvatore Bruno and Ludwig B. Chincarini
IndexIQ and University of San Francisco School of Management
Downloads 39 (353,085)
Citation 2

Abstract:

Real returns, inflation, hedging, asset allocation

25.

The Life Cycle of Beta

Number of pages: 44 Posted: 14 Aug 2016
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Queen's University - Smith School of Business
Downloads 0 (137,265)

Abstract:

beta, cost-of-capital, life cycle, CAPM, time-varying beta, determinants of beta

26.

Transaction Cost and Crowding

Number of pages: 38 Posted: 28 Jul 2016
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 0 (122,712)

Abstract:

risk management, crowding, crowded spaces, transaction costs, copycat trading, quantitative equity portfolio management, optimal portfolios, portfolio construction

27.

Understanding Oil Investing

Number of pages: 33 Posted: 20 Jun 2016
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco School of Management, USCF Investments and USCF Investments
Downloads 0 (93,214)

Abstract:

oil investing, futures investing, exchange-traded funds

28.

The Impact of Quantitative Methods on Hedge Fund Performance

European Financial Management, Vol. 20, Issue 5, pp. 857-890, 2014
Number of pages: 34 Posted: 31 Oct 2014
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 0 (548,341)

Abstract:

quantitative portfolio management, alpha, hedge funds, returns

A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Vol. 18, No. 1, 2008
Posted: 23 Nov 2008
Ludwig B. Chincarini
University of San Francisco School of Management

Abstract:

risk management, natural gas, hedge funds

A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors L.L.C.

Journal of Applied Finance, Spring 2008, Vol. 18, Issue 1, p. 152
Posted: 29 Jul 2012
Ludwig B. Chincarini
University of San Francisco School of Management

Abstract:

Hedge funds, Natural gas, Futures trading, Risk management, Liquidity, Investment policy, Case studies

Other Papers (1)

Total Downloads: 753    Citations: 0
1.

Another Look at the Information Ratio

Number of pages: 20 Posted: 17 Dec 2006
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco School of Management and Konkuk University
Downloads 734

Abstract:

Information Ratio, Fundamental Law of Active Management, Linear Regression