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Sanford J. Grossman

Sanford J. Grossman
Born (1953-07-21) July 21, 1953
Nationality United States
Institution University of Pennsylvania
Field Quantitative finance
School or tradition
Chicago School of Economics
Alma mater University of Chicago
Information at IDEAS / RePEc

Sanford "Sandy" Jay Grossman (born July 21, 1953) is an American economist and hedge fund manager specializing in quantitative finance. Grossman’s research has spanned the analysis of information in securities markets, corporate structure, property rights, and optimal dynamic risk management. He has published widely in leading economic and business journals, including American Economic Review, Journal of Econometrics, Econometrica, and Journal of Finance. His research in macroeconomics, finance, and risk management has earned numerous awards. Grossman is currently Chairman and CEO of QFS Asset Management, an affiliate of which he founded in 1988. QFS Asset Management shutdown its sole remaining hedge fund in January 2014.[1]

Contents

  • Academic career 1
  • Professional career 2
  • Awards 3
  • Publications 4
  • References 5

Academic career

Sanford Grossman earned his A.B. in 1973, his A.M. in 1974 and Ph.D. in 1975, all in economics from the University of Chicago.[2] Since receiving his doctorate, he has held academic appointments at Stanford University, the University of Chicago, Princeton University (as the John L. Weinberg Professor of Economics, 1985–89), and at the University of Pennsylvania’s Wharton School of Business. At Wharton, Grossman held the position of Steinberg Trustee Professor of Finance from 1989 to 1999 (a title now held in Emeritus) and also served as the Director of the Wharton Center for Quantitative Finance (1994–1999).

Professional career

Grossman served as an Economist with the Board of Governors of the Federal Reserve System (1977–78), and was a Public Director of the largest U.S. options and futures exchange, the Chicago Board of Trade (1992–96). In 1988, he was elected a Director, in 1992 served as Vice President, and in 1994 was President of the American Finance Association.

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. Tha 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:

  • Sanford J. Grossman (1989). The Informational Role of Prices. The MIT Press.  

Articles:

  • Sanford J. Grossman and  
  • Sanford J. Grossman (1975). "Rational Expectations and the Economic Modeling of Markets Subject to Uncertainty: A Bayesian Approach".  
  • Sanford J. Grossman (1975). R. Day and T. Groves, eds. Equilibrium Under Uncertainty and Bayesian Adaptive Control Theory. Adaptive Economic Models (Academic Press). pp. 279–307.  
  • Sanford J. Grossman (1976). "On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1977). "A Characterization of the Optimality of Equilibrium in Incomplete Markets".  
  • Sanford J. Grossman (1977). "The Existence of Future Markets, Noisy Rational Expectations and Informational Externalities".  
  • Sanford J. Grossman and Richard Kihlstrom and Leonard Mirman (1977). "A Bayesian Approach to the Production of Information and Learning by Doing".  
  • Sanford J. Grossman (1978). "Further Results on the Informational Efficiency of Competitive Stock Markets".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and D. Levhari and Leonard Mirman (1979). Green and Scheinkman, eds. Consumption under Uncertainty. General Equilibrium, Growth, and Trade (Academic Press). pp. 105–124.  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1981). "Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1981). "An Introduction to the Theory of Rational Expectations Under Asymmetric Information".  
  • Sanford J. Grossman (1981). "The Informational Role of Warranties and Private Disclosure About Product Quality".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and L. Weiss (1982). "Heterogeneous Information and the Theory of the Business Cycle".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and L. Weiss (1982). Marshall Sarnal and Girogio Szego, eds. Monetary Non-Neutrality When Prices are Observable. Savings, Investment, and Capital Markets in an Inflationary Economy (Ballinger Publishing Co). pp. 313–314.  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and L. Weiss (1983). "A Transactions Based Model of the Monetary Transmission Mechanism".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and L. Weiss (1984). M. Boyer and R. Kihlstrom, eds. Savings and Insurance. Bayesian Models in Economic Theory (Elsevier Science Publishers). pp. 303–311.  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1986). "An Analysis of the Role of 'Insider Trading' on Futures Markets".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1987). William Barnett and Kenneth Singleton, eds. Monetary Dynamics with Proportional Transactions Cost and Fixed Payment Periods. New Approaches to Monetary Economics (Cambridge University Press). pp. 3–40.  
  • Sanford J. Grossman and A. Melino and  
  • Sanford J. Grossman (1988). "Program Trading and Stock and Futures Price Volatility".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1988). "An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies".  
  • Sanford J. Grossman (1988). "Insurance Seen and Unseen".  
  • Sanford J. Grossman with  
  • Sanford J. Grossman (1988). "Program Trading and Market Volatility: A Report on Interday Relationships". Financial Analysts Journal: 18–28. 
  • Sanford J. Grossman (1988). "Derivative Securities, Dynamic Hedging and Stock Market Volatility". MTEC Journal (1): 1–15. 
  • Sanford J. Grossman (1989). Robert J. Barro, eds. Rational Expectations and the Informational Role of Prices. Modern Business Cycle Theory (Harvard University Press). pp. 128–152.  
  • Sanford J. Grossman (1989). "Informational Tactical Asset Allocation". MTEC Journal (2): 7–24. 
  • Sanford J. Grossman and Jean Luc Vila (1989). "Portfolio Insurance in Complete Markets: A Note".  
  • Sanford J. Grossman and Guy Laroque (1990). "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods".  
  • Sanford J. Grossman (1990). Daniel R. Siegel, eds. Trading Technology and Financial Market Stability. Innovation and Technology in the Markets: A Reordering of the World's Capital Market Systems (Irwin Professional Publishing). pp. 47–57.  
  • Sanford J. Grossman (1990). "Market Liquidity and Trading Technology". MTEC Journal (3): 7–17. 
  • Sanford J. Grossman and Jean-Luc Vila (1992). "Optimal Dynamic Trading with Leverage Constraints".  
  • Sanford J. Grossman (1991). "Dynamic Leveraging Strategies and the Risk/Return Profile of Professionally Managed Futures -- Including a Commentary on Elton, Gruber, and Rentzier's Evaluation of Commodity Funds". MFA Journal 6 (2): 51–56. 
  • Sanford J. Grossman (1992). "The Informational Role of Upstairs and Downstairs Trading".  
  • Sanford J. Grossman (1992). "Informational Portfolio Strategies for Dynamic Asset Allocation". MTEC Journal 5: 3–15. 
  • Sanford J. Grossman (1992). "The Case for Eliminating Position Limits on Financial Futures". Journal of Financial Engineering 2 (1): 39–42. 
  • Sanford J. Grossman (1992). "A Proposal for the Reform of Disclosure Requirements for Managed Futures". Journal of Financial Engineering 2 (1): 55–58. 
  • Sanford J. Grossman and Zhongquan Zhou (1993). "Optimal Investment Strategies for Controlling Drawdowns".  
  • Sanford J. Grossman and  
  • Sanford J. Grossman (1995). "Dynamic Asset Allocation and the Informational Efficiency of Markets".  
  • Sanford J. Grossman and Zhongquan Zhou (1996). "Equilibrium Analysis of Portfolio Insurance".  

References

  1. ^ a b Nicole Hong and Rob Copeland (January 14, 2014). "QFS Asset Management Shuts Currency Hedge Fund".  
  2. ^ Lawrence Delevigne (January 25, 2011). "Grossman donates QFS stake to University of Chicago".  
  3. ^ http://www.q-group.org/index.php?option=com_content&view=article&id=57&Itemid=66
  4. ^ http://www.msri.org/communications/pressrelease/attachments/090911_CME_Group-MSRI_Prize_recipient_announced_Press_Release.pdf
  • Profile at University of Pennsylvania's Wharton School of Business
  • List of publications at University of Connecticut's Economics and Finance Research web site
  • Interview with hedge fund newsletter
  • List of publications at New School web site
  • Sanford J. Grossman at the Mathematics Genealogy Project
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