Chi-fu Huang
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Chi-fu Huang | |
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Nationality | U.S. |
Alma mater | Stanford University (Ph.D. 1983) National Taiwan University (B.A. 1977) |
Known for | Fixed income relative value investment management; dynamic general equilibrium theory under uncertainty; Optimal consumption and portfolio decisions under uncertainty in continuous time. |
Scientific career | |
Fields | Financial economics, Relative Value Investment Management, Ventures Investing |
Institutions | Platinum Grove Asset Management 1999-2013 LTCM 1995-99 Goldman Sachs 1993-94 MIT 1983-93 |
Doctoral advisor | David M. Kreps |
Chi-fu Huang (黄奇辅; born 1955) is a private investor, retired hedge fund manager, and former finance academic. During his career, Huang has contributed to the theory of
He is also a managing member of CMASH, LLC, a member of the Management Committee of Starling Ventures LLC, a board member of DeepMacro, 9M Technologies, and an owner of numbersgamewines.com. He serves on the advisory board of the Dean of School of Sciences, Massachusetts Institute of Technology.
Early life
Huang received his B.A. in Economics from National Taiwan University in 1977 and Ph.D. in Financial Economics from Stanford University in the United States in 1983. He was on the faculty of the MIT Sloan School of Management[1] from 1983 to 1994, and was a full professor holding the J.C. Penney Professorship in Finance when he left MIT in the summer of 1994.
Career
Huang co-founded, with Myron Scholes, Platinum Grove Asset Management L.P. (PGAM), an investment management company based in Rye Brook, New York, in 1999. He was the Chief Executive Officer and Chief Investment Officer of PGAM from 1999 to 2009, and served as Non-Executive Chairman from 2010 to 2013. (See Myron Scholes.) PGAM was one of the largest fixed income relative value focused hedge funds during the 10 years that Huang served as CEO and CIO.
Before founding PGAM, Huang was with
Huang was an editor of
Research
As an academic, his most extensive work has been in dynamic
The second main theme concerns the critical allocational role of securities markets. Previous research suggested that an efficient allocation of resources would require markets for far more securities than actually exist. Huang's work shifted the focus of discussion from the number of markets to the nature of dynamic trading opportunities. He showed that an efficient allocation of resources could in fact be obtained with relatively few securities as long as these securities could be traded continuously.
In his work on individual consumption and portfolio decisions, Huang provided a new approach to this classic economic topic. Many inherent dynamic optimization problems in this area have proved impossible to solve. Huang showed how these seemingly intractable problems can be broken into two easy-to-solve parts, one involving a static optimization problem and the other a dynamic problem without optimization.
Huang's work on
References
- ISBN 978-1-118-04620-3.
- ^ "Too Interconnected to Fail?" Stephen Slivinski, senior editor of Region Focus, quarterly publication of the Federal Reserve Branch of Richmond [Virginia], which is the 5th of 12 districts of the U.S. Federal Reserve system, Summer 2009.
External links
- Executive Profile: Chi-Fu Huang, businessweek.com
- Small Bio of Chi-fu Huang (archived), wsren.org
- Author page, SSRN
- Platinum Grove Asset Management, L.P. (archived)
- Company Overview of OpHedge Investment Services, LLC, businessweek.com