Lisa Goldberg
{{short description|Mathematical finance scholar and statistician}}
{{Infobox scientist
|name = Lisa Goldberg
|image =
|birth_date =
|birth_place=
|field = Mathematical Finance, Statistics
|work_institutions = University of California, Berkeley; Berkeley Research Group; MSCI
|alma_mater = Ph.D. Brandeis University (Mathematics)
|doctoral_advisor =
|prizes = Sloan Fellowship (1987){{br}}Graham and Dodd Scroll Award for Excellence in Research and Financial Writing (2012)
}}
Lisa Goldberg is a financial economist and statistician who serves at the University of California, Berkeley as director of research at the Center for Risk Management Research and as Adjunct Professor of Statistics. She is also the Co-Director for the Consortium for Data Analytics in Risk at UC Berkeley.
Research
In the 1980s, Goldberg studied properties of dynamical systems generated by rational maps of the Riemann sphere.{{cite journal|last1=Goldberg|first1=Lisa R.|title=Fixed Points of Polynomials Part I: Rotation Subsets of the Unit Circle |url=http://archive.numdam.org/ARCHIVE/ASENS/ASENS_1992_4_25_6/ASENS_1992_4_25_6_679_0/ASENS_1992_4_25_6_679_0.pdf|journal= Annales Scientifiques de l'École Normale Supérieure|year=1992|volume=25|issue=6|pages=679–685|doi=10.24033/asens.1663|doi-access=free}}{{cite journal|last1=Goldberg|first1=Lisa R.|first2=John|last2=Milnor|title=Fixed Points of Polynomials Part II: Fixed Point Portraits|journal= Annales Scientifiques de l'École Normale Supérieure|year=1993|volume=26|issue=1|pages=51–98|url=http://archive.numdam.org/ARCHIVE/ASENS/ASENS_1993_4_26_1/ASENS_1993_4_26_1_51_0/ASENS_1993_4_26_1_51_0.pdf|doi=10.24033/asens.1667|doi-access=free}}
In 1993, Goldberg left academia to pursue a career in quantitative finance at Barra (now MSCI), and she has been a proponent of research that combines best practices from industry and the university.{{cite book|last1=Connor|first1=Gregory|first2=Lisa R.|last2=Goldberg|first3=Robert A.|last3= Korajczyk|title=Portfolio Risk Analysis|year=2010|place=Princeton, NJ|publisher=Princeton University Press|isbn=978-0691128283}} Early in the 2000s, in collaboration with Kay Giesecke, she developed a top down methodology based on point processes that is used to assess complex credit derivatives.{{cite journal|last1=Giesecke|first1=Kay|first2=Lisa R.|last2=Goldberg|first3=Xioawei|last3=Ding|title=A Top-Down Approach to Multi-Name Credit|journal=Operations Research|year=2011|volume=59|issue=2|pages=283–300|doi=10.1287/opre.1100.0855|citeseerx=10.1.1.139.6466}}{{cite journal|first1=Kay|last1=Giesecke|first2=Lisa R.|last2=Goldberg|journal=The Journal of Derivatives| date=Fall 2004 |pages=11–25|volume=12|number=1|title=Forecasting Default in the Face of Uncertainty|doi=10.3905/jod.2004.434534|s2cid=219242393}}{{cite journal|first1=Eymen|last1=Errais|first2=Kay|last2=Giesecke|first3=Lisa R.|last3=Goldberg|journal=SIAM J. Financial Math.|year=2010|volume=1|pages=642–665|title=Affine Point Processes and Portfolio Credit Risk|doi=10.1137/090771272|s2cid=7628863}}
Beginning in 2006, Goldberg, in collaboration with Guy Miller and Jared Weinstein, developed a patented extension of quantitative risk management tools to extreme events and market turbulence.{{cite patent |country=US|number=7870052|
| status = granted | title = System and Method for Forecasting Portfolio Loss at Multiple Horizons | pubdate = | gdate = January 11, 2011
| fdate =
| pridate =
| inventor = Lisa R. Goldberg
| invent1 = Guy Miller
| invent2 = Jared Weinstein
| assign1 =
| assign2 =
| class =
}}.
Goldberg also holds two patents on industry-standard multi-asset class risk models{{cite patent |country=US|number=7324978|
| status = granted | title = Method and Apparatus for Creating Consistent Risk Forecasts and For Aggregating Factor Models | pubdate = | gdate = January 29, 2008
| fdate =
| pridate =
| inventor = Lisa R. Goldberg
| invent1 = Alec Kercheval
| invent2 = Guy Miller
| assign1 =
| assign2 =
| class =
}}.{{cite patent |country=US|number=7024388|
| status = granted | title = Method and Apparatus for an Integrated Model of Multiple Asset Classes Inventors | pubdate = | gdate = April 4, 2006
| fdate =
| pridate =
| inventor = Lisa R. Goldberg
| invent1 = Dan Stefek
| invent2 = Scott Scheffler
| invent3 = Ken Hui
| invent4 =Nicolo Torre
| assign1 =
| assign2 =
| class =
}}. and one patent on incomplete information credit models.{{cite patent |country=US|number=7536329|
| status = granted | title = Method and Apparatus for an Incomplete Information Model of Credit Risk | pubdate = | gdate = May 19, 2009
| fdate =
| pridate =
| inventor = Lisa R. Goldberg
| invent1 = Kay Giesecke
| assign1 =
| assign2 =
| class =
}}.
Early in the 2007–2008 financial crisis, Goldberg warned against the risks associated with the reliance on Gaussian models.{{cite journal|last1=Goldberg|first1=Lisa|title=Don't Risk Using Normal Distribution?|journal=Financial Times|date=August 18, 2008|url=http://www.ft.com/cms/s/0/147def70-6c4f-11dd-96dc-0000779fd18c.html#axzz2aCo0n74z}}
Risk parity strategies have been claimed by a number of practitioners to deliver investment performance superior to traditional strategies, and have been especially popular since the 2007–2008 financial crisis. In collaboration with Robert M. Anderson (economist) and Stephen Bianchi, Goldberg demonstrated that long-horizon performance of risk parity strategies is qualitatively similar to long-horizon performance of traditional strategies after accounting for realistic financing and trading costs, and that risk parity substantially underperforms traditional strategies in certain time periods.{{cite journal|last1=Anderson|first1=Robert M.|first2=Stephen W.|last2=Bianchi|first3=Lisa R.|last3=Goldberg|title=Will My Risk Parity Strategy Outperform?|journal=Financial Analysts Journal| date=November{{ndash}}December 2012 |doi=10.2469/faj.v68.n6.7|volume=68|issue=6|pages=75–93|url=https://escholarship.org/uc/item/21t3566t}} Subsequent research by the same team extends the findings to the more general class of dynamically levered strategies, and it reveals high sensitivity of strategy performance to a previously unidentified source of risk: the co-movement of leverage with return to the underlying portfolio that is levered.{{cite journal|last1=Anderson|first1=Robert M.|first2=Stephen W.|last2=Bianchi|first3=Lisa R.|last3=Goldberg|title=The Decision to Lever|journal=Working Paper # 2013-01, Center for Risk Management Research, University of California, Berkeley|date=July 2013|url=http://riskcenter.berkeley.edu/working-papers/documents/LeverCurrent.pdf|url-status=dead|archiveurl=https://web.archive.org/web/20131022041753/http://riskcenter.berkeley.edu/working-papers/documents/LeverCurrent.pdf|archivedate=2013-10-22}} They also pointed out that levered strategies involving bonds, including risk parity, are very vulnerable in a rising interest rate environment,{{cite journal|last1=Anderson|first1=Robert M.|first2=Stephen W.|last2=Bianchi|first3=Lisa R.|last3=Goldberg|title=Will My Risk Parity Strategy Outperform?: Author Response|journal=Financial Analysts Journal| date=March{{ndash}}April 2013 |doi=10.2469/faj.v69.n2.9|volume=69|issue=2|pages=15–16|s2cid=155068853}}{{cite journal|last1=Orr|first1=Leanna|title=Is Levering a Portfolio Ever Worth It?|journal=Asset International's Chief Investment Officer|date=July 26, 2013|url=http://www.ai-cio.com/channel/ASSET_ALLOCATION/Is_Levering_a_Portfolio_Ever_Worth_It_.html|access-date=July 27, 2013|archive-url=https://web.archive.org/web/20150928020433/http://www.ai-cio.com/channel/ASSET_ALLOCATION/Is_Levering_a_Portfolio_Ever_Worth_It_.html|archive-date=September 28, 2015|url-status=dead}} the precise environment that many analysts predict for the coming years.
Awards
Goldberg received a Sloan Fellowship in 1987{{cite news|newspaper=The New York Times|url=https://www.nytimes.com/1987/04/19/nyregion/sloan-foundation-awards-90-grants.html|title=Sloan Foundation Awards 90 Grants|date=April 19, 1987}} and a Graham and Dodd Scroll Award for Excellence in Research and Financial Writing in 2012 for Financial Analysts Journal.{{cite web|url=https://blogs.cfainstitute.org/investor/2013/03/18/the-years-best-financial-writing-graham-and-dodd-awards-of-excellence-for-2012/|title=The Year's Best Financial Writing: Graham and Dodd Awards of Excellence for 2012|work=Enterprising Investor|date=March 18, 2013|first=Rodney|last=Sullivan|accessdate=2020-06-02}}
Personal life
Goldberg is married to mathematician Ken Ribet.{{cite journal |url=https://www.ams.org/journals/notices/201703/rnoti-p229.pdf |title=Interview with New AMS President Kenneth A. Ribet |journal=Notices of the American Mathematical Society |date=March 2017 |volume=64 |issue=3 |pages=229–232|doi=10.1090/noti1488 |last1=Jackson |first1=Allyn |doi-access=free }}
Publications
= Book =
- {{cite book|first1=Gregory|last1=Connor|first2=Lisa R.|last2=Goldberg|first3=Robert A.|last3=Korajczyk|title=Portfolio Risk Analysis|location=Princeton, NJ|publisher=Princeton University Press|year=2010| isbn=978-0691128283}}
= Articles =
- {{cite journal|first1=Lisa R.|last1=Goldberg|title=Fixed Points of Polynomials Part I: Rotation Subsets of the Unit Circle|url=http://archive.numdam.org/ARCHIVE/ASENS/ASENS_1992_4_25_6/ASENS_1992_4_25_6_679_0/ASENS_1992_4_25_6_679_0.pdf|journal= Annales Scientifiques de l'École Normale Supérieure|volume=25|number=6|year=1992|pages=679–685|doi=10.24033/asens.1663|doi-access=free}}
- {{cite journal|first1=Lisa R.|last1=Goldberg|first2=John|last2=Milnor|title=Fixed Points of Polynomials Part II: Fixed Point Portraits|url=http://archive.numdam.org/ARCHIVE/ASENS/ASENS_1993_4_26_1/ASENS_1993_4_26_1_51_0/ASENS_1993_4_26_1_51_0.pdf|journal= Annales Scientifiques de l'École Normale Supérieure|volume=26|number=1|year=1993|pages=51–98|doi=10.24033/asens.1667|doi-access=free}}
- {{cite journal|first1=Kay|last1=Giesecke|first2=Lisa R.|last2=Goldberg|journal=The Journal of Derivatives| date=Fall 2004 |pages=11–25|volume=12|number=1|title=Forecasting Default in the Face of Uncertainty|doi=10.3905/jod.2004.434534|s2cid=219242393}}
- {{cite journal|first1=Lisa R.|last1=Goldberg|first2=Guy|last2=Miller|first3=Jared|last3=Weinstein|title=Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons|journal=Journal of Investment Management|volume=6|number=2|year=2008|pages=73–93}}
- {{cite journal|first1=Eymen|last1=Errais|first2=Kay|last2=Giesecke|first3=Lisa R.|last3=Goldberg|journal=SIAM J. Financial Math.|year=2010|volume=1|pages=642–665|title=Affine Point Processes and Portfolio Credit Risk|doi=10.1137/090771272|s2cid=7628863}}
- {{cite journal|first1=Kay|last1=Giesecke|first2=Lisa R.|last2=Goldberg|first3=Xiaowei|last3=Ding|title=A Top-Down Approach to Multi-Name Credit|journal=Operations Research|volume=59|number=22|year=2011|pages=283–300|doi=10.1287/opre.1100.0855|citeseerx=10.1.1.139.6466}}
- {{cite journal|first1=Robert M.|last1=Anderson|first2=Stephen W.|last2=Bianchi|first3=Lisa R.|last3=Goldberg|title=Will My Risk Parity Strategy Outperform?|journal=Financial Analysts Journal|volume=68|number=6|date=2012|pages=75–93|edition=November/December|doi=10.2469/faj.v68.n6.7|url=https://escholarship.org/uc/item/21t3566t}}
References
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{{DEFAULTSORT:Goldberg, Lisa}}
Category:University of California, Berkeley faculty
Category:American statisticians
Category:Sloan Research Fellows
Category:American women mathematicians
Category:University of Rochester alumni