Ludwig B. Chincarini

University of San Francisco

2130 Fulton Street

San Francisco, CA 94117

United States

SCHOLARLY PAPERS

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Scholarly Papers (36)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
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non-standard errors, multi-analyst approach, liquidity

2.

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
Downloads 2,223 (9,473)
Citation 3

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quantitative portfolio management, alpha, hedge funds, returns

3.

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
Downloads 1,826 (13,085)

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Amaranth, Hedge Funds, Risk Management, Liquidity Risk

4.

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
Downloads 1,807 (13,317)
Citation 5

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

5.

The Failure of Long-Term Capital Management

Number of pages: 16 Posted: 19 Dec 2006
Ludwig B. Chincarini
University of San Francisco
Downloads 1,479 (18,107)
Citation 4

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

6.

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
Downloads 1,468 (18,305)

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Natural gas, futures, options, hedge funds

7.

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
Downloads 1,189 (25,110)
Citation 2

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

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 and Independent
Downloads 592 (64,960)

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

9.

Beta and Firm Age

Journal of Empirical Finance, Vol. 58, 2020
Number of pages: 73 Posted: 14 Aug 2016 Last Revised: 15 Dec 2020
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 451 (90,974)
Citation 2

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time-varying beta, cost of capital, CAPM, firm age, estimation risk, familiarity

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 and Konkuk University
Downloads 419 (98,795)

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

11.

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
Downloads 383 (109,598)

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Currency hedging, futures, global portfolios

12.

Understanding Oil Investing

Number of pages: 33 Posted: 20 Jun 2016
Ludwig B. Chincarini, John Love and Robert Nguyen
University of San Francisco, USCF Investments and USCF Investments
Downloads 361 (117,096)

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oil investing, futures investing, exchange-traded funds

13.

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
Downloads 357 (118,550)

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Hedge Funds, Alternative Assets, Regulation, Performance

14.

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
Downloads 352 (120,435)
Citation 4

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

15.

Transaction Cost and Crowding

Number of pages: 38 Posted: 28 Jul 2016
Ludwig B. Chincarini
University of San Francisco
Downloads 342 (124,300)

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

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
Downloads 330 (129,142)

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money markets, expectations theory of term structure, fixed income

17.

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 and Universidad Autonoma de Madrid
Downloads 329 (129,550)
Citation 1

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Volume information,Trading Strategies,Technical Analysis, Momentum

18.

Angel Investor Impact: Clues from the Shark Tank

Number of pages: 55 Posted: 27 Aug 2021
Ludwig B. Chincarini and Mark Cannice
University of San Francisco and University of San Francisco - School of Management
Downloads 310 (137,867)

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angel investor, venture capital, Shark Tank, investment performance, startups

19.

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
Downloads 301 (142,668)
Citation 2

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Real returns, inflation, hedging, asset allocation

20.

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
Downloads 284 (151,003)

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GARCH, Forecasting, Asset Allocation, Implied Volatility

21.

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
Downloads 190 (221,546)
Citation 1

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Trigger Strategies, Prisoner's Dilemma

22.

The Challenges of Oil Investing: Contango and the Financialization of Commodities

Energy Economics, Vol. 102, 2021
Number of pages: 56 Posted: 23 May 2021 Last Revised: 10 Feb 2022
Ludwig B. Chincarini and Fabio Moneta
University of San Francisco and Telfer School of Management, University of Ottawa
Downloads 161 (255,148)

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oil investing, crowding, futures investing, tracking error, commodities, exchange-traded funds

23.

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
Downloads 147 (274,690)

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Taxes, Investing, Tax Harvesting, Synthetic Dividends

24.

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
Downloads 142 (282,199)
Citation 2

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25.

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
Downloads 134 (295,147)

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

26.

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
Downloads 132 (298,532)

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Enhanced Indexing, Information Ratio, Portfolio Management, Active Management

27.

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 and Yeshiva University
Downloads 118 (324,065)

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

28.

Flexible Insurance for Separate Accounts

Number of pages: 32 Posted: 10 May 2007
Ludwig B. Chincarini
University of San Francisco
Downloads 93 (379,763)

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Portfolio Protection, Portfolio Insurance, Hedging, Options

29.

Wages and Knowledge Transfer

Number of pages: 19 Posted: 15 Jul 2003 Last Revised: 16 Aug 2013
Ludwig B. Chincarini and Daehwan Kim
University of San Francisco and Konkuk University
Downloads 93 (379,763)

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Wages, knowledge transfer, employment

30.

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
Downloads 46 (543,083)

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Real returns, inflation, hedging, asset allocation

31.

Liquidity in the Financial System Panel (Presentation Slides)

Proceedings of the 4th Chapman Conference on Money & Finance on Liquidity: Pricing, Management and Financial Stability
Number of pages: 29 Posted: 14 Jan 2020
Ludwig B. Chincarini
University of San Francisco
Downloads 35 (600,061)

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Liquidity, crowding, price risk, liquidity risk

32.

Enhanced Indexing and Selectivity Theory

Forthcoming, European Financial Management https://onlinelibrary.wiley.com/doi/abs/10.1111/eufm.12330
Number of pages: 58 Posted: 04 Apr 2022
Andrei Bolshakov, Ludwig B. Chincarini and Christopher Lewis
WEDGE Capital Management, LLP, University of San Francisco and WEDGE Capital Management, LLP
Downloads 16 (735,182)

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enhanced indexing, information ratio, portfolio management, active management, simulations

33.

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
Downloads 11 (780,851)

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quantitative portfolio management, alpha, hedge funds, returns

34.

Managing the Risk of a Fixed Income Bond Fund

Number of pages: 20 Posted: 17 May 2022
Ludwig B. Chincarini
University of San Francisco
Downloads 6 (831,020)

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35.

Measuring Hedge Fund Timing Ability Across Factors

Posted: 21 May 2019
Alex Nakao and Ludwig B. Chincarini
affiliation not provided to SSRN and University of San Francisco

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Hedge Funds, Returns, Market Timing, Factor Analysis

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

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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

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

Other Papers (1)

Total Downloads: 850
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 and Konkuk University
Downloads 850

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Information Ratio, Fundamental Law of Active Management, Linear Regression