About Me

I used to blog to champion some of my pet ideas, usually related to 'low vol' investing, or libertarian visitors and was named one of the 'best economic blogs' by the Wall Street Journal back in 2010 (near the height of my blogging). It was fun and helped me clarify my thoughts, but 5 or so years of that is enough.

I was a TA for Hyman Minsky at Wash U, which motivated me to be a macroeconomist and got me interested in risk. I'm a '94 econ PhD from Northwestern, and wrote a dissertation on the low return to high volatility equities, which I also showed were inordinately preferred by mutual funds. Part of that became a Journal of Finance publication, but the low vol slant didn't make it--this was before ad hoc anomalies could be published w/ mere reference to behavioral anomalies.

After grad school I worked at KeyCorp bank in Cleveland, first as an economist, then set up their value-at-risk system for their trading desk. After that, I led the development of their economic risk capital allocation across 5 major business lines, 23 secondary business lines, and 138 tertiary business lines. I really wanted to be a fund manager, so I set up a C-corp going long low volatility companies to demonstrate my alpha, doing this on the side. I developed Moody's RiskCalcTM for private companies, the world's leading private firm default model. I worked at the hedge fund Deephaven for a couple years, doing various things in pairs, convertible bonds, and long-short equity investing. I was a portfolio manager at Telluride Asset Management,  developed high-frequency trading tactics for Walleye Trading (an options market maker), and was most recently a portfolio manager at Pine River Capital Management. Currently I am working on an Ethereum contract that I hope to release shortly.

 I've written for several academic journals, including the Journal of Finance, and published two books--Finding Alpha and The Missing Risk Premium.  See my home website for published papers.

I have been a libertarian for a long time, but recently became a Christian, which I think is more profound than libertarianism because the Christian virtues of faith, hope and love are more foundational. I have a wife, three kids, and a dog. I like rational expectations and derivatives pricing theory,  but hate the CAPM and its derivatives. My Big Idea (one that is new, true and important) is that risk is generally not related to expected return because people are more envious than greedy, so there's no risk premium that comes out of the convexity of a utility function.

I recently published an Ethereum derivatives contract suite I have been working on for some time. Due to US regulations, I can't administer or support it in size, but a working version denominated in szabo is on the main Ethereum network at oracleswap.co.

I can be reached at efalken atsign gmail dot com