← All authors Lisa R. Goldberg University of California, Berkeley (from arXiv:1905.05237, 2019) · ORCID · OpenAlex
41 papers in scope · 41 published · 1 on the econ.EM arXiv · 1,128 citations · h-index 13 (over the papers listed here)
Papers (1 of 41)
Loss harvesting strategies tax efficiently diversify concentrated stock
published 2025 · Journal of Asset Management
with Slava Malkin, Harrison Selwitz, Taotao Cai
Portfolio optimisation via strategy-specific eigenvector shrinkage
published 2025 · Finance and Stochastics
with Hubeyb Gurdogan, Alec N. Kercheval
Portfolio selection revisited
published 2024 · Annals of Operations Research · 3 citations
with Alex Shkolnik, Alec N. Kercheval, Hubeyb Gurdogan, Haim Bar
A guide to 130/30 loss harvesting
published 2024 · Journal of Asset Management · 1 citations
with Taotao Cai, Ben Schneider
Ownership of ESG characteristics
published 2023 · Journal of Asset Management · 1 citations
with Mark Bateman
A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease
published 2023 · Statistics in Biosciences · first circulated 2021
published 2022 · The Journal of Finance and Data Science · 8 citations · first circulated 2019
Better Betas
published 2020 · The Journal of Portfolio Management · 6 citations · first circulated 2018
with Alex Papanicolaou, Alex Shkolnik, Simge Ulucam, Alexander Shkolnik
Practical Applications of A Guide to ESG Portfolio Construction
published 2019 · Practical Applications
with Michael Branch, Pete Hand
A Guide to ESG Portfolio Construction
published 2019 · The Journal of Portfolio Management · 37 citations
with Michael Branch, Pete Hand
Tax-Managed Factor Strategies
published 2019 · Financial Analysts Journal · 13 citations
with Pete Hand, Taotao Cai
Do the Golden State Warriors Have Hot Hands?
published 2018 · The Mathematical Intelligencer · 8 citations · first circulated 2017
with Alon Daks, Nishant Desai
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
published 2017 · The Journal of Portfolio Management · 6 citations
with Stephen W. Bianchi, Allan J. Rosenberg
The Dispersion Bias
published 2017 · SIAM Journal on Financial Mathematics · 1 citations
with Alex Papanicolaou, Alex Shkolnik
Drawdown: from practice to theory and back again
published 2016 · Mathematics and Financial Economics · 1 citations
with Ola Mahmoud
Practical Applications of Optimizing Value
published 2016 · Practical Applications
with Ran Leshem, A. C. Cummings
Optimizing Value
published 2016 · The Journal of Portfolio Management · first circulated 2015
with Ran Leshem, A. C. Cummings
Determinants of Levered Portfolio Performance”: Author Response
published 2015 · Financial Analysts Journal · 1 citations
with Robert M. Anderson, Stephen W. Bianchi
What Would Yale Do If It Were Taxable? (corrected January 2016)
published 2015 · Financial Analysts Journal · 8 citations · first circulated 2014
with Patrick Geddes, Stephen W. Bianchi
In search of statistically valid risk factors
published 2015 · Quantitative Finance · 7 citations
with Robert M. Anderson, Stephen W. Bianchi
Determinants of Levered Portfolio Performance
published 2014 · Financial Analysts Journal · 23 citations
with Robert M. Anderson, Stephen W. Bianchi
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
published 2014 · The Journal of Derivatives · 15 citations · first circulated 2013
with Samim Ghamami
The Signal and the Noise: Why So Many Predictions Fail – but Some Don’t , by Nate Silver
published 2013 · Quantitative Finance · 1 citations
Will My Risk Parity Strategy Outperform?”: Author Response
published 2013 · Financial Analysts Journal · 2 citations
with Robert M. Anderson, Stephen W. Bianchi
Will My Risk Parity Strategy Outperform?
published 2012 · Financial Analysts Journal · 114 citations · first circulated 2011
with Robert M. Anderson, Stephen W. Bianchi
Thinking, Fast and Slow, by D. Kahneman
published 2012 · Quantitative Finance · 3 citations
Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios
published 2012 · Financial Analysts Journal · 2 citations · first circulated 2011
with Stacy L. Cuffe
Harry Markowitz: Selected Works, edited by Harry M. Markowitz
published 2011 · Quantitative Finance
Minimizing Shortfall
published 2011 · Quantitative Finance · 1 citations
with Michael Y. Hayes, Ola Mahmoud
A Top-Down Approach to Multiname Credit
published 2010 · Operations Research · 66 citations
with Kay Giesecke, Xiaowei Ding
Central limits and financial risk
published 2010 · Quantitative Finance · 7 citations · first circulated 2009
with Angelo Barbieri, Vladislav Dubikovsky, Alexei Gladkevich, Michael Y. Hayes
Affine Point Processes and Portfolio Credit Risk
published 2010 · SIAM Journal on Financial Mathematics · 386 citations
with Eymen Errais, Kay Giesecke, Msci Barra
Portfolio Risk Analysis
published 2010 · Economics Books · 132 citations
with Gregory Connor, Robert A. Korajczyk
Is There a Green Factor?
published 2009 · The Journal of Portfolio Management · 31 citations
with Chin-Ping Chia, David T. Owyong, Peter G. Shepard, T. Stoyanov
Measuring Financial Extremes
published 2006 · Risk Management · 2 citations
with Kay Giesecke
On the aggregation of local risk models for global risk management
published 2005 · The Journal of Risk · 12 citations · first circulated 2003
with Greg Anderson, Alec N. Kercheval, Guy Miller, Kathy Sorge, Charles Anderson
t ‐statistics for weighted means in credit risk modeling
published 2005 · The Journal of Risk Finance · 59 citations
with Alec N. Kercheval, Kiseop Lee
Sequential defaults and incomplete information
published 2004 · The Journal of Risk · 58 citations
with Kay Giesecke
Forecasting Default in the Face of Uncertainty
published 2004 · The Journal of Derivatives · 87 citations · first circulated 2003
with Kay Giesecke
Modeling Credit Risk
published 2003 · The Journal of Portfolio Management · 18 citations
with Alec N. Kercheval, Ludovic Bréger
Volatility of the short rate in the rational lognormal model
published 1998 · Finance and Stochastics · 8 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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