Lisa R. Goldberg

University of California, Berkeley

Director of Research, Center for Risk Management and Adjunct Professor of Statistics

Department of Statistics

367 Evans Hall

Berkeley, CA 94720-3860

United States

Aperio Group

Director of Research

3 Harbor Drive

Suite 315

Sausalito, CA 94965

United States

  • University of California, Berkeley

  • Aperio Group

SCHOLARLY PAPERS

51

DOWNLOADS
Rank 2,574

SSRN RANKINGS

Top 2,574

in Total Papers Downloads

27,285

TOTAL CITATIONS
Rank 8,202

SSRN RANKINGS

Top 8,202

in Total Papers Citations

214

Scholarly Papers (51)

Actions:
Email selected abstracts
1.

Extreme Risk Management

MSCI Barra Research Paper No. 2009-4
Number of pages: 16 Posted: 12 Feb 2009 Last Revised: 19 Feb 2009
Lisa R. Goldberg, Michael Y. Hayes, Jose Menchero and Indrajit Mitra
University of California, Berkeley, MSCI Inc., MSCI Barra and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 1,819 (20,586)
Citation 5

Abstract:

Loading...

risk management, quantitative extreme

2.

Market Implied Ratings

Risk Magazine, July 2003
Number of pages: 15 Posted: 13 Aug 2003
Ludovic L. Breger, Lisa R. Goldberg and Oren Cheyette
Morgan Stanley - Fixed Income Research, University of California, Berkeley and Loomis Sayles
Downloads 1,586 (25,415)
Citation 10

Abstract:

Loading...

Credit rating, risk, market implied ratings

3.

Modeling Value at Risk with Factors

MSCI Barra Research Paper No. 2009-39
Number of pages: 36 Posted: 22 Nov 2009
Angelo Barbieri, Kelly H. Chang, Vladislav Dubikovsky, John Fox, Alexei Gladkevich, Carl Gold and Lisa R. Goldberg
MSCI Inc., affiliation not provided to SSRN, MSCI Barra, MSCI Inc., MSCI Inc., Independent Researcher and University of California, Berkeley
Downloads 1,553 (26,343)
Citation 2

Abstract:

Loading...

modeling value, risk factors, investment, management, forecasts, portfolio, construction, shorter, longer, horizons, value-at-risk, VaR

4.

Drawdown: From Practice to Theory and Back Again

Mathematics and Financial Economics, Forthcoming
Number of pages: 28 Posted: 30 Apr 2014 Last Revised: 22 Sep 2016
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of St. Gallen
Downloads 1,484 (28,054)
Citation 8

Abstract:

Loading...

drawdown; Conditional Expected Drawdown; deviation measure; risk attribution; convex optimization; serial correlation

5.

The Market Price of Credit Risk: The Impact of Asymmetric Information

Number of pages: 24 Posted: 08 Oct 2003 Last Revised: 15 Jun 2016
Kay Giesecke and Lisa R. Goldberg
Stanford University - Department of Management Science & Engineering and University of California, Berkeley
Downloads 1,452 (28,998)
Citation 10

Abstract:

Loading...

risk premium, default event risk, jump risk, incomplete information, asymmetric information, measure change

6.

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 1,253 (36,129)
Citation 2

Abstract:

Loading...

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

7.

Affine Point Processes and Portfolio Credit Risk

Number of pages: 29 Posted: 14 Jun 2006 Last Revised: 15 Jun 2010
Eymen Errais, Kay Giesecke and Lisa R. Goldberg
Stanford University, Stanford University - Department of Management Science & Engineering and University of California, Berkeley
Downloads 1,225 (37,155)
Citation 36

Abstract:

Loading...

Self-exciting point process, affine jump diffusion, Hawkes process, transform, portfolio credit derivative, correlated default, index and tranche swap

8.

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 1,103 (43,374)
Citation 18

Abstract:

Loading...

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

9.

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Downloads 985 (50,899)
Citation 13

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Number of pages: 34 Posted: 22 Oct 2007
Lisa R. Goldberg, Guy Miller and Jared Weinstein
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)
Downloads 985 (50,069)
Citation 13

Abstract:

Loading...

value at risk, expected shortfall, loss surface, downside risk, tail risk, peaks over thresholds, semi-parametric distribution, Fourier transform, temporal dependence

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Journal of Investment Management, Vol. 6, No. 2, Second quarter 2008
Posted: 15 May 2008
Lisa R. Goldberg, Guy Miller and Jared Weinstein
University of California, Berkeley, Merrill Lynch & Co. and University of California, Los Angeles (UCLA)

Abstract:

Loading...

Extreme risk, loss surface, expected shortfall, peaks over thresholds, temporal risk aggregation

10.

Do the Golden State Warriors Have Hot Hands?

Number of pages: 11 Posted: 13 Jun 2017 Last Revised: 05 Nov 2017
Alon Daks, Nishant Desai and Lisa R. Goldberg
University of California, Berkeley, University of California, Berkeley and University of California, Berkeley
Downloads 921 (55,846)

Abstract:

Loading...

hot hand, streak shooting, conditional probability, small sample correction, permutation test, nonparametric test

11.

Forecasting Extreme Financial Risk

Number of pages: 22 Posted: 01 Dec 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Department of Management Science & Engineering
Downloads 921 (55,846)

Abstract:

Loading...

Extreme events, normal distribution, extreme value distribution, power law, Pareto distribution, peaks over thresholds, tail index, shortfall risk, Hurst exponent, clustering, contagion, point process

12.

A Top-Down Approach to Multi-Name Credit

Operations Research, Forthcoming
Number of pages: 34 Posted: 15 Mar 2005 Last Revised: 15 Jun 2016
Kay Giesecke, Lisa R. Goldberg and Xiaowei Ding
Stanford University - Department of Management Science & Engineering, University of California, Berkeley and Stanford University
Downloads 858 (61,557)
Citation 38

Abstract:

Loading...

correlated defaults, point process, random thinning, single-name hedging, top-down model

13.

Restoring Value to Minimum Variance

Forthcoming in Journal of Investment Management
Number of pages: 12 Posted: 05 Sep 2013 Last Revised: 26 Nov 2013
Lisa R. Goldberg, Ran Leshem and Patrick Geddes
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 763 (72,017)
Citation 9

Abstract:

Loading...

minimum variance, low risk, value factor

14.

Forecasting Default in the Face of Uncertainty

Journal of Derivatives, Vol. 12, No. 1, pp. 14-25, 2004
Number of pages: 15 Posted: 17 Mar 2003
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Department of Management Science & Engineering
Downloads 756 (72,933)
Citation 19

Abstract:

Loading...

credit risk, incomplete information, pricing trend, short spreads, default barrier

15.

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 751 (73,568)
Citation 6

Abstract:

Loading...

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

16.

Extreme Risk Analysis, July 2009

MSCI Barra Research Paper No. 2009-16
Number of pages: 20 Posted: 14 May 2009 Last Revised: 08 Jul 2009
Lisa R. Goldberg, Michael Y. Hayes, Jose Menchero and Indrajit Mitra
University of California, Berkeley, MSCI Inc., MSCI Barra and Federal Reserve Banks - Federal Reserve Bank of Atlanta
Downloads 750 (73,692)

Abstract:

Loading...

extreme, risk, analysis, volatility, shortfall, different, risk, measures, standard, analytics

17.

Tax-Managed Factor Strategies

Forthcoming, Financial Analysts Journal
Number of pages: 20 Posted: 14 Jan 2019
Lisa R. Goldberg, Pete Hand and Taotao Cai
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 577 (103,333)
Citation 2

Abstract:

Loading...

tax-managed investment, loss harvesting, tax alpha, rate differential, factor tilt, value, momentum, size, quality, minimum variance

18.

On the Aggregation of Local Risk Models for Global Risk Management

Journal of Risk, Vol. 8, No. 1, 2005
Number of pages: 20 Posted: 06 Jun 2005
Lisa R. Goldberg, Alec N. Kercheval, C. Greg Anderson, Guy Miller and Kathy Sorge
University of California, Berkeley, Florida State University - Department of Mathematics, MSCI Barra, BARRA, Inc. - Equity Research and Morgan Stanley - Fixed Income Research
Downloads 577 (103,102)
Citation 2

Abstract:

Loading...

portfolio risk, total risk, optimization, positive definite

19.

Investing in Credit: How Good is Your Information?

Risk, Vol. 17, No. 1, pp. S16-S18, January 2004
Number of pages: 3 Posted: 28 Feb 2004
Lisa R. Goldberg
University of California, Berkeley
Downloads 511 (119,950)
Citation 1

Abstract:

Loading...

Credit risk, incomplete information, default, recovery, risk premium, power curve

20.

Risk Without Return

Journal of Investment Strategies, Volume 2, No. 2, Spring 2013
Number of pages: 9 Posted: 24 Aug 2013 Last Revised: 03 Sep 2013
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of St. Gallen
Downloads 486 (127,357)
Citation 1

Abstract:

Loading...

21.

Identifying Broad and Narrow Financial Risk Factors with Convex Optimization

Number of pages: 27 Posted: 25 Jun 2016 Last Revised: 21 Aug 2016
Alexander Shkolnik, Alexander Shkolnik, Lisa R. Goldberg, Jeffrey Bohn and Jeffrey Bohn
University of California, Santa Barbara (UCSB)University of California at Berkeley, University of California, Berkeley and State Street CorporateUniversity of California, Berkeley - Center for Risk Management Research
Downloads 473 (132,646)
Citation 3

Abstract:

Loading...

financial risk factors, broad, narrow, convex optimization, low rank plus sparse decomposition, principal component analysis

22.

Factoring Profitability

Number of pages: 9 Posted: 21 Dec 2013
Michael Branch, Lisa R. Goldberg and Ran Leshem
Aperio Group, University of California, Berkeley and Aperio Group
Downloads 432 (146,540)

Abstract:

Loading...

gross profitability, quality, factor model, value, earnings yield, book to market, momentum, factor replication

23.

Sequential Defaults and Incomplete Information

Number of pages: 30 Posted: 30 May 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Department of Management Science & Engineering
Downloads 420
Citation 3

Abstract:

Loading...

correlated defaults; incomplete information, pricing trend, intensity, simulation, first-to-default

24.

The Long View of Financial Risk

Downloads 380 (169,524)
Citation 1

The Long View of Financial Risk

MSCI Barra Research Paper No. 2009-29
Number of pages: 13 Posted: 16 Aug 2009
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.
Downloads 380 (167,882)
Citation 1

Abstract:

Loading...

financial risk, extended history, market returns, variance, forecasts, shortfall, risk, perspective

The Long View of Financial Risk

Journal of Investment Management (JOIM), First Quarter 2010
Posted: 13 Mar 2010 Last Revised: 03 Jun 2010
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.

Abstract:

Loading...

Shortfall, volatility, return horizon, convex risk measure, diversification, portfolio optimization, reverse optimization, marginal contribution to risk, risk-implied correlation, beta

25.

T-Statistics for Weighted Means in Credit Risk Modelling

Journal of Risk Finance, Forthcoming
Number of pages: 22 Posted: 19 May 2005
Alec N. Kercheval, Lisa R. Goldberg and Kiseop Lee
Florida State University - Department of Mathematics, University of California, Berkeley and University of Louisville - Department of Mathematics
Downloads 356 (182,282)

Abstract:

Loading...

Weighted t-statistic, mean, risk model

26.

The Dispersion Bias

SIAM Journal on FInancial Mathematics, forthcoming
Number of pages: 34 Posted: 17 Nov 2017 Last Revised: 08 Jan 2022
Lisa R. Goldberg, Alex Papanicolaou, Alexander Shkolnik and Alexander Shkolnik
University of California, Berkeley, University of California, Berkeley and University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 347 (148,309)

Abstract:

Loading...

Markowitz optimization, eigenvector bias, sample covariance, shrinkage, random matrix theory, dispersion, minimum variance portfolio

27.

Minimizing Shortfall

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 03 Feb 2011 Last Revised: 22 Sep 2016
Lisa R. Goldberg, Michael Y. Hayes and Ola Mahmoud
University of California, Berkeley, MSCI Inc. and University of St. Gallen
Downloads 323 (202,566)
Citation 2

Abstract:

Loading...

empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry

28.

Catching Fallen Angels (and Other Expensive Credit Events)

Number of pages: 14 Posted: 21 Oct 2005
Lisa R. Goldberg and Andreas Zapp
University of California, Berkeley and BaFin
Downloads 321 (203,976)

Abstract:

Loading...

default, downgrade, credit event, incomplete information credit model, power curve

29.

Central Limits and Financial Risk

MSCI Barra Research Paper No. 2009-13
Number of pages: 14 Posted: 14 May 2009
Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa R. Goldberg and Michael Y. Hayes
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 314 (208,831)
Citation 2

Abstract:

Loading...

Systematic model global recession quantitative finance random variables central limit theorem normal distribution financial risk

30.

Sustainable Investing and the Cross-Section of Maximum Drawdown

Downloads 312 (210,321)
Citation 3

Sustainable Investing and the Cross-Section of Maximum Drawdown

Number of pages: 35 Posted: 03 Jun 2019 Last Revised: 17 Dec 2019
Lisa R. Goldberg and Saad Mouti
University of California, Berkeley and University of California, Berkeley
Downloads 232 (283,211)
Citation 3

Abstract:

Loading...

Maximum Drawdown, Supervised Learning, The Cross-Section of Risk, Sustainable Investing, Linear Regression, Penalized Regression, Dimension Reduction, Random Forest, Gradient Boosting, Multi-Layer Perceptron

Sustainable Investing and the Cross-Section of Maximum Drawdown

Number of pages: 32 Posted: 28 Oct 2021
Lisa R. Goldberg and Saad Mouti
University of California, Berkeley and University of California, Berkeley
Downloads 80 (673,107)

Abstract:

Loading...

Maximum Drawdown, Asset Pricing, Machine learning, Linear Regression, Random Forest, Neural Networks, Penalized Regression, Reduction Methods, Sustainable Investing

31.

Factor Tilts after Tax

Number of pages: 20 Posted: 15 Oct 2014
Lisa R. Goldberg and Ran Leshem
University of California, Berkeley and Aperio Group
Downloads 309 (212,528)
Citation 2

Abstract:

Loading...

factor tilt, taxes, tax alpha, factor alpha, tax-loss harvesting, wealth management, ultra-high net worth investors

32.

The Implied Futures Financing Rate

Number of pages: 49 Posted: 15 Mar 2021
Nicholas Gunther, Robert Anderson, Lisa R. Goldberg and Alex Papanicolaou
University of California, Berkeley, University of California, Berkeley, University of California, Berkeley and University of California, Berkeley
Downloads 307 (214,028)

Abstract:

Loading...

futures, financing, debt, rate, leverage, trading, stock, equity index, S&P 500, Wishart, estimation, point estimate, interval estimate, fiducial inference, LIBOR, Treasury, rates, time series, AR(1), Ornstein-Uhlenbeck, autoregressive

33.

Evaluating Risk Forecasts with Central Limits

Number of pages: 20 Posted: 29 Mar 2008 Last Revised: 11 Nov 2008
Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Lisa R. Goldberg and Michael Y. Hayes
MSCI Inc., MSCI Barra, MSCI Inc., University of California, Berkeley and MSCI Inc.
Downloads 293 (224,981)
Citation 3

Abstract:

Loading...

hyptothesis test, value at risk, expected shortfall

34.

The Long View of Financial Risk, August 2009

MSCI Barra Research Paper No. 2009-32
Number of pages: 13 Posted: 20 Nov 2009
Lisa R. Goldberg and Michael Y. Hayes
University of California, Berkeley and MSCI Inc.
Downloads 291 (226,594)
Citation 1

Abstract:

Loading...

long view financial risk, market returns, risk measure variance, alternative, shortfall, extreme moves, convex

35.

Allocating Assets in Climates of Extreme Risk

MSCI Barra Research Paper No. 2011-08
Number of pages: 32 Posted: 27 Apr 2011
Stacy Cuffe and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley
Downloads 281 (235,010)

Abstract:

Loading...

Allocating Assets Climates of Extreme Risk portfolio stress testing extreme scenario sset Allocation Stress Testing Risk Management Portfolio Construction investment processes

36.

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 278 (237,558)

Abstract:

Loading...

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

37.

Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting

Number of pages: 37 Posted: 17 Mar 2021 Last Revised: 24 Aug 2021
Lisa R. Goldberg, Taotao Cai and Pete Hand
University of California, Berkeley, Aperio Group and Aperio Group
Downloads 260 (254,279)

Abstract:

Loading...

tax-rate arbitrage, loss harvesting, tax-managed strategies, tax-rate differential, gains realization, ossification

38.

A Structural Analysis of the Default Swap Market - Part 2 (Relative Value)

Journal of Investment Management, Forthcoming
Number of pages: 29 Posted: 19 Aug 2008
Lisa R. Goldberg, Rajnish Kamat and Jason Kremer
University of California, Berkeley, affiliation not provided to SSRN and Global Key Advisors
Downloads 259 (255,280)

Abstract:

Loading...

CDS, implied spread, structural model, relative value, credit risk, default swap, iSpread, rich-cheap strategy, carry-neutral strategy, beta-neutral strategy, transaction costs, information ratio, structural credit model

39.

Building a Carbon-Free Equity Portfolio

Number of pages: 13 Posted: 16 Feb 2015
Patrick Geddes, Lisa R. Goldberg, Robert Tymoczko and Michael Branch
Aperio Group, University of California, Berkeley, Aperio Group and Aperio Group
Downloads 251 (263,460)
Citation 1

Abstract:

Loading...

Divestment, Endowment, Foundation, Individual Investor, New Institutional, Oil, Carbon-free, Energy, Utilities, Materials, Tracking Error

40.

Analyzing the Extreme Risk of a U.S Corporate Bond Portfolio, November 2009

MSCI Barra Research Paper No. 2009-43
Number of pages: 9 Posted: 13 Feb 2010
Peter Chan, Lisa R. Goldberg, Michael Y. Hayes and Eric Tsang
MSCI Inc., University of California, Berkeley, MSCI Inc. and MSCI Inc.
Downloads 224 (294,579)

Abstract:

Loading...

Barra, Extreme Risk, BxR Model, Corporate Bond Portfolio, Forecast, xShortfall, xVaR

41.

Extreme Shooters in the NBA

Number of pages: 14 Posted: 14 Jan 2019
Manav Kant and Lisa R. Goldberg
affiliation not provided to SSRN and University of California, Berkeley
Downloads 174 (372,335)

Abstract:

Loading...

hot hand, cold hand, extreme shooter, season average, distribution of game averages, p-value, binomial distribution, quantile

42.

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Downloads 163 (394,240)
Citation 11

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

FEDS Working Paper 2014-54
Number of pages: 19 Posted: 13 Aug 2014
Samim Ghamami and Lisa R. Goldberg
and University of California, Berkeley
Downloads 163 (393,988)
Citation 11

Abstract:

Loading...

Credit value adjustment, stochastic intensity modeling, wrong way and right way risk, Basel III, counterparty credit risk

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

https://doi.org/10.3905/jod.2014.21.3.024
Posted: 20 May 2019
Samim Ghamami and Lisa R. Goldberg
and University of California, Berkeley
Downloads 0 (168,587)

Abstract:

Loading...

Credit Value Adjustment, Wrong Way Risk, Basel III CVA Capital Charges, Stochastic Intensity Modeling

43.

Market Turmoil, a Value Index, and the UK Telecoms Industry, March 2010

MSCI Barra Research Paper No. 2010-09
Number of pages: 11 Posted: 07 May 2010
Patrick Burke d'Orey and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley
Downloads 96 (594,237)

Abstract:

Loading...

Market Turmoil, Value Index, UK, Telecoms Industry, financial crisis, turnaround, MSCI, UK, Value Investable Market Index, MSCI, UK, Value, IMI, Barra, Extreme Risk, BxR model

44.

Hot or Not? A Nonparametric Formulation of the Hot Hand in Baseball

Number of pages: 12 Posted: 20 Apr 2020
Amanda Glazer and Lisa R. Goldberg
University of California, Berkeley - Department of Statistics and University of California, Berkeley
Downloads 90 (618,795)

Abstract:

Loading...

hot hand, baseball, sports, power, type I error, nonparametric, permutation tests

45.

Optimizing Value

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2016.42.2.077
Posted: 22 May 2019
Ran Leshem, Lisa R. Goldberg and Alan Cummings
Aperio Group, University of California, Berkeley and Aperio Group

Abstract:

Loading...

Value, book-to-price, earnings-to-price, blended value strategy, optimized strategy, rank-and-chop strategy, sector constraint, tracking error, turnover

46.

Better Betas

Posted: 05 Dec 2018 Last Revised: 25 Sep 2020
Lisa R. Goldberg, Alex Papanicolaou, Alexander Shkolnik, Alexander Shkolnik and Simge Ulucam
University of California, Berkeley, University of California, Berkeley, University of California, Santa Barbara (UCSB)University of California at Berkeley and Aperio Group

Abstract:

Loading...

PCA, Market betas, Dispersion, Factors, Markowitz portfolio, Minimum variance

47.

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:

Loading...

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

48.

Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios

Financial Analysts Journal, Vol. 68, No. 2, 2012
Posted: 26 Mar 2012
Stacy Cuffe and Lisa R. Goldberg
MSCI Inc. and University of California, Berkeley

Abstract:

Loading...

Portfolio Management, Asset Allocation, Impact on Portfolio Returns, Economic Analysis and Capital Market Expectations, Macroeconomic Forecasts in Determining Asset Class/Security Return Expectations, Risk Management, Risk Management, Portfolio Risk Management

49.

A Structural Analysis of the Default Swap Market, Part 1 (Calibration)

Journal of Investment Management, Second Quarter 2009
Posted: 07 Oct 2008
Lisa R. Goldberg, Rajnish Kamat and Vijay Poduri
University of California, Berkeley, affiliation not provided to SSRN and Charles Schwab Investment Management

Abstract:

Loading...

Credit spread, structural model, risk factor, calibration parameter, firm value, firm leverage, distance to effective default, bounded influence estimation, inversion-minimization algorithm

50.

In Search of a Modigliani-Miller Economy

Journal of Investment Management, Vol. 2, No. 3, Third Quarter 2004
Posted: 16 Sep 2004
Lisa R. Goldberg and Kay Giesecke
University of California, Berkeley and Stanford University - Department of Management Science & Engineering

Abstract:

Loading...

Credit risk, leverage ratio, incomplete information model, Modigliani-Miller theorem, Merton model

51.

Volatility of the Short Rate in the Rational Lognormal Model

Finance and Stochastics (1998)
Posted: 20 Apr 1998
Lisa R. Goldberg
University of California, Berkeley

Abstract:

Loading...