Sanford J. Grossman

Sanford "Sandy" Jay Grossman (born July 21, 1953) is an American

Grossman formed an affiliate of QFS Asset Management, L.P. in 1988.^[1] The firm is based in Greenwich, Connecticut, and is an alternative investment management firm that uses financial investment models based on Grossman's research in economics and quantitative finance. The firm specializes in global macro and foreign exchange investment strategies.

Awards

Grossman’s original contributions to economic research received official recognition when he was awarded the John Bates Clark Medal by the American Economic Association at its December 1987 annual meeting. That same year the Q-Group awarded him first prize in The Roger F. Murray Prize^[3] competition for the paper “An Analysis of the Implications for Stock and Future Price Volatility of Program Trading and Dynamic Hedging Strategies.” The Editorial Board of the Financial Analysts Journal awarded him the 1988 Graham and Dodd Scroll for “Program Trading and Market Volatility: A Report on Interday Relationships.” Grossman received a Mathematical Finance 1993 Best Paper Award for his article “Optimal Investment Strategies for Controlling Drawdowns.” Grossman received the 1996 Leo Melamed Prize by the University of Chicago Graduate School of Business for outstanding scholarship by a professor. In 2002, Grossman was recognized by the University of Chicago with its Professional Achievement Citation. Most recently, he was awarded the 2009 CME Group-MSRI Prize in Innovative Quantitative Applications.^[4]

Publications

Books:

Books:

• Sanford J. Grossman (1989). The Informational Role of Prices. The MIT Press.
  ISBN 978-0-262-07121-5
  .

• Sanford J. Grossman; Joseph Stiglitz (1980). "On the Impossibility of Informationally Efficient Markets". American Economic Review. 70 (3): 393–408.
• Sanford J. Grossman (1975). "Rational Expectations and the Economic Modeling of Markets Subject to Uncertainty: A Bayesian Approach".
  doi:10.1016/0304-4076(75)90035-4
  .
• Sanford J. Grossman (1975). R. Day; T. Groves (eds.). Equilibrium Under Uncertainty and Bayesian Adaptive Control Theory. Academic Press. pp. 279–307.
  ISBN 978-0-12-207350-2. {{cite book}}: |work= ignored (help
  )
• Sanford J. Grossman (1976). "On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information".
  JSTOR 2326627
  .
• Sanford J. Grossman; Joseph Stiglitz (1976). "Information and Competitive Price Systems". American Economic Review. 66 (2): 246–253.
• Sanford J. Grossman;
  doi:10.1111/j.1540-6261.1977.tb03278.x
  .
• Sanford J. Grossman (1977). "A Characterization of the Optimality of Equilibrium in Incomplete Markets".
  doi:10.1016/0022-0531(77)90063-1
  .
• Sanford J. Grossman (1977). "The Existence of Future Markets, Noisy Rational Expectations and Informational Externalities".
  Review of Economic Studies
  . 64 (3): 431–449.
• Sanford J. Grossman; Richard Kihlstrom; Leonard Mirman (1977). "A Bayesian Approach to the Production of Information and Learning by Doing".
  Review of Economic Studies
  . 64 (3): 533–547.
• Sanford J. Grossman (1978). "Further Results on the Informational Efficiency of Competitive Stock Markets".
  doi:10.1016/0022-0531(78)90043-1
  .
• Sanford J. Grossman;
  JSTOR 1914186
  .
• Sanford J. Grossman; D. Levhari; Leonard Mirman (1979). Green; Scheinkman (eds.). Consumption under Uncertainty. Academic Press. pp. 105–124.
  ISBN 978-0-12-298750-2. {{cite book}}: |work= ignored (help
  )