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

  • University of San Francisco School of Management

  • University of San Francisco - School of Business and Management

SCHOLARLY PAPERS

30

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14,088

CITATIONS
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Top 20,076

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15

Scholarly Papers (30)

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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 2,088 (6,465)
Citation 1

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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 1,648 (9,667)

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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 1,640 (9,736)
Citation 4

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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 1,423 (12,224)

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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 1,312 (13,937)
Citation 1

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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 1,067 (19,101)

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

7.

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 538 (49,212)

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

8.

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 369 (78,011)

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Currency hedging, futures, global portfolios

9.

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 346 (84,096)

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

10.

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 341 (85,500)

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Hedge Funds, Alternative Assets, Regulation, Performance

11.

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 318 (92,416)

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oil investing, futures investing, exchange-traded funds

12.

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 318 (92,416)
Citation 1

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

13.

Transaction Cost and Crowding

Number of pages: 38 Posted: 28 Jul 2016
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 305 (96,698)

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

14.

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 296 (99,871)
Citation 1

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Volume information,Trading Strategies,Technical Analysis, Momentum

15.

Beta, Firm Age, and Estimation Risk

Number of pages: 58 Posted: 14 Aug 2016 Last Revised: 06 Nov 2018
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 293 (101,012)

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

16.

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 282 (105,253)

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money markets, expectations theory of term structure, fixed income

17.

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 263 (113,298)

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GARCH, Forecasting, Asset Allocation, Implied Volatility

18.

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 256 (116,513)
Citation 2

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Real returns, inflation, hedging, asset allocation

19.

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 152 (189,075)

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Trigger Strategies, Prisoner's Dilemma

20.

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 137 (205,677)

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21.

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 133 (210,625)

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Taxes, Investing, Tax Harvesting, Synthetic Dividends

22.

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 123 (223,709)

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

23.

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 117 (232,209)
Citation 1

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

24.

An Approach to Enhanced Indexing

Number of pages: 33 Posted: 21 Jun 2017
Andrei Bolshakov and Ludwig B. Chincarini
WEDGE Capital Management, LLP and University of San Francisco School of Management
Downloads 104 (252,495)

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Enhanced Indexing, Information Ratio, Portfolio Management, Active Management

25.

Flexible Insurance for Separate Accounts

Number of pages: 32 Posted: 10 May 2007
Ludwig B. Chincarini
University of San Francisco School of Management
Downloads 88 (281,510)

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Portfolio Protection, Portfolio Insurance, Hedging, Options

26.

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 88 (281,510)

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Wages, knowledge transfer, employment

27.

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 43 (403,752)
Citation 2

Abstract:

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Real returns, inflation, hedging, asset allocation

28.

Measuring Hedge Fund Timing Ability Across Factors

https://doi.org/10.3905/joi.2011.20.4.050
Posted: 21 May 2019
Alex Nakao and Ludwig B. Chincarini
affiliation not provided to SSRN and University of San Francisco School of Management

Abstract:

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Hedge Funds, Returns, Market Timing, Factor Analysis

29.

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 (650,650)
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quantitative portfolio management, alpha, hedge funds, returns

30.

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

Downloads 0 (650,650)

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

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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:

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

Other Papers (1)

Total Downloads: 779    Citations: 0
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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 779

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Information Ratio, Fundamental Law of Active Management, Linear Regression