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

DOWNLOADS
Rank 2,415

SSRN RANKINGS

Top 2,415

in Total Papers Downloads

14,178

CITATIONS
Rank 23,846

SSRN RANKINGS

Top 23,846

in Total Papers Citations

26

Scholarly Papers (30)

Actions:
Email selected abstracts
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 2,095 (6,585)
Citation 1

Abstract:

Loading...

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 1,652 (9,821)

Abstract:

Loading...

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 1,647 (9,884)
Citation 4

Abstract:

Loading...

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 1,425 (12,487)

Abstract:

Loading...

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 1,316 (14,158)
Citation 2

Abstract:

Loading...

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 1,077 (19,250)
Citation 3

Abstract:

Loading...

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 543 (49,553)

Abstract:

Loading...

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 (79,421)

Abstract:

Loading...

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 350 (84,426)

Abstract:

Loading...

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 342 (86,698)

Abstract:

Loading...

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 322 (92,725)

Abstract:

Loading...

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 319 (93,668)
Citation 1

Abstract:

Loading...

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 309 (97,013)

Abstract:

Loading...

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

14.

Beta and Firm Age

Number of pages: 68 Posted: 14 Aug 2016 Last Revised: 10 Jun 2019
Ludwig B. Chincarini, Daehwan Kim and Fabio Moneta
University of San Francisco School of Management, Konkuk University and Telfer School of Management, University of Ottawa
Downloads 308 (97,361)
Citation 1

Abstract:

Loading...

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

15.

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 300 (100,113)
Citation 1

Abstract:

Loading...

Volume information,Trading Strategies,Technical Analysis, Momentum

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 289 (104,337)

Abstract:

Loading...

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 (115,261)

Abstract:

Loading...

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 258 (117,571)
Citation 2

Abstract:

Loading...

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 154 (190,119)
Citation 1

Abstract:

Loading...

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 (209,170)
Citation 1

Abstract:

Loading...

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 134 (212,954)

Abstract:

Loading...

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 (227,450)

Abstract:

Loading...

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 (236,106)

Abstract:

Loading...

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 109 (248,393)

Abstract:

Loading...

Enhanced Indexing, Information Ratio, Portfolio Management, Active Management

25.

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 89 (284,127)

Abstract:

Loading...

Wages, knowledge transfer, employment

26.

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 (286,160)

Abstract:

Loading...

Portfolio Protection, Portfolio Insurance, Hedging, Options

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 (410,731)

Abstract:

Loading...

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:

Loading...

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 (666,371)
  • Add to Cart

Abstract:

Loading...

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 (666,371)

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:

Loading...

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:

Loading...

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

Other Papers (1)

Total Downloads: 787
Actions:
Email selected abstracts
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 787

Abstract:

Loading...

Information Ratio, Fundamental Law of Active Management, Linear Regression