Enrique R. Arzac
Enrique R. Arzac | |
|---|---|
| Born | 1941 |
| Nationality | Argentine-American |
| Academic background | |
| Alma mater | Columbia University, University of Buenos Aires |
| Academic advisors | William Vickrey, David W. Miller |
| Academic work | |
| Discipline | Financial economics |
| Institutions | Columbia University |
| Website | www0 |
Enrique R. Arzac (born 1941)Professor Emeritus of finance and economics at Columbia University specialized in corporate finance.[2]
Education
Enrique R. Arzac obtained a CPN degree from the
commodity markets and corporate finance.[3]
Career
Arzac's contributions include the development of loss aversion asset pricing when investors follow a generalization of Roy's safety-first criterion.[4][5][6] Asset pricing under loss aversion provides the theoretical foundation for Value at risk portfolio management[7] and the framework for empirical research of the extreme returns observed in emerging markets[8] and after black swan events[9] (see, Black swan theory).
In a testimony given in 1985 to the
Fifth Amendment of the United States Constitution and has been the basis of compensation judgements ever since.[11]
References
- ^ "Credit Suisse High Yield Bond Fund".
- ^ "Enrique R. Arzac". Columbia Business School Directory. 15 September 2014.
- ^ Google Scholar Retrieved on August 23, 2020.
- ^ Arzac, E. and Bawa, V. S.(1977), “Portfolio Choice and Equilibrium in Capital Markets with Safety-First Investors,” Journal of Financial Economics, 4, 277-288, Retrieved June 24, 2021.
- ^ Jansen, D. W., K.G. Koedijk and C. G. de Vries (2000), “Portfolio selection with limited downside risk,” Journal of Empirical Finance, 7, 247-269, Retrieved September 23, 2020.
- ^ Broihanne, M-H., Merli, M. and Roger P. (2006), “Théorie comportementale du portefeuille,” Revue économique, 57, 2, 297-314. Retrieved October 20, 2020.
- ^ Campbell, R., R. Huisman and K. Koedijk (2001), “Optimal portfolio selection in a Value-at-Risk framework,” Journal of Banking and Finance, 25, 1789-1904, Retrieved September 23, 2020.
- ^ Susmel, R. (2001), “Extreme observations and diversification in Latin American emerging equity markets,” Journal of International Money and Finance, 20, 971-986. Retrieved September 23, 2020.
- ^ Haque, M. and O. Varela (2010), “Safety-first portfolio optimization after September 11, 2001,” The Journal of Risk Finance, Vol. 11 No. 1, 20-61. Retrieved September 23, 2020.
- ^ Dynamic Corporation of America v. The United States. Retrieved on August 23, 2020.
- ^ Citing Cases: Hughes Aircraft Company v. U.S. and other cases. Retrieved on August 23, 2020
External links
- Enrique R. Arzac. Valuation of Mergers, Buyouts, and Restructuring.
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