The Legacy of Stephen A. Ross

The Journal of Portfolio Management, Special Issue Dedicated to Stephen A. Ross, June 2018

10 Pages Posted: 13 Mar 2019

See all articles by Frank J. Fabozzi

Frank J. Fabozzi

EDHEC Business School

Bruce I. Jacobs, Ph.D.

Jacobs Levy Equity Management

Kenneth N. Levy

Jacobs Levy Equity Management

Date Written: June 1, 2018

Abstract

Stephen A. Ross had an uncanny talent for translating economic theory into intuitive and rigorous concepts that were useful to researchers and practitioners alike. His most famous accomplishment, the arbitrage pricing theory, has inspired the ongoing search for factors that explain security returns. His work on agency theory is applied to portfolio performance evaluation and compensation. This introduction summarizes the contributions in this issue primarily from his former students and colleagues, who reflect on what they learned from Steve, how he influenced their work, and how his ideas continue to be adapted and refined.

Keywords: arbitrage pricing theory, agency theory, binomial pricing model, economic theory, empirical research, equilibrium theory, factors, factor models, term structure of interest rates, finance education, financial economics, financial research, recovery theorem, risk-neutral pricing, Stephen Ross

JEL Classification: A, A23, B26, B31, D5, D46, E43, G, G11, G12

Suggested Citation

Fabozzi, Frank J. and Jacobs, Bruce I. and Levy, Kenneth N., The Legacy of Stephen A. Ross (June 1, 2018). The Journal of Portfolio Management, Special Issue Dedicated to Stephen A. Ross, June 2018, Available at SSRN: https://ssrn.com/abstract=3269483

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Bruce I. Jacobs (Contact Author)

Jacobs Levy Equity Management ( email )

100 Campus Drive
P.O. Box 650
Florham Park, NJ 07932-0650
United States
973-410-9222 (Phone)
973-410-9333 (Fax)

HOME PAGE: https://jlem.com/who-we-are#/nav/founders

Kenneth N. Levy

Jacobs Levy Equity Management ( email )

100 Campus Drive
P.O. Box 650
Florham Park, NJ 07932-0650
United States
973-410-9222 (Phone)
973-410-9333 (Fax)

HOME PAGE: https://jlem.com/who-we-are#/nav/founders

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