Articles


Peer-Reviewed

    1. Chincarini, Ludwig (w/ several co-authors). “Non-Standard Errors” Journal of Finance, Forthcoming.
    2. Chincarini, Ludwig (w/ Mark Cannice and Ryan Leary). “Exploring Angel Investor Impact: Diving into the Shark Tank!” Journal of Alternative Investments, Forthcoming.
    3. Chincarini, Ludwig (w/ Fabio Moneta). “The Challenges of Oil Investing: Contango and the Financialization of Commodities” Energy Economics, Forthcoming.
    4. Chincarini, Ludwig (w/ Andrei Bolshakov and Christopher Lewis). “Enhanced Indexing and Selectivity Theory” European Financial Management, September 2022.
    5. Chincarini, Ludwig (w/ Daehwan Kim and Fabio Moneta). “Beta and Firm Age” Journal of Empirical Finance, Forthcoming.
    6. Chincarini, Ludwig. “Tracking Spot Oil: The Elusive Quest.” Journal of Commodity Markets, March, 2020.
    7. Chincarini, Ludwig (w/ Andrei Bolshakov). “Manager Skill and Portfolio Size with Respect to a Benchmark.” European Financial Management, February, 2020.
    8. Chincarini, Ludwig (w/ Frank J. Fabozzi). “Stephen A. Ross. Excellence Beyond Recognition.” Journal of Portfolio Management, July 2018.
    9. Chincarini, Ludwig (w/ Sal Bruno and Frank Ohara). “Portfolio Construction and Crowding.” Journal of Empirical Finance, March 9, 2018.
    10. Chincarini, Ludwig (w/ Tuan Anh Le (Student)). “Managing a Student Managed Fund. The University of San Francisco Experience.” The Journal of Trading, Winter 2018.
    11. Chincarini, Ludwig. “Transaction Costs and Crowding.” Quantitative Finance, August 2017.
    12. Chincarini, Ludwig. “The Impact of Quantitative Techniques on Hedge Fund Performance.” European Financial Management, November 2014.
    13. Chincarini, Ludwig (w/ Salvatore Bruno and Robert Whitelaw). “An Alternative Method to Construct Levered Indices .” Journal of Indexed Investing, Fall 2014.
    14. Chincarini, Ludwig (w/ Daehwan Kim). “On Uses and Misuses of the Black-Litterman Model in Portfolio Construction.” Journal of Mathematical Finance, March, 2013.
    15. Chincarini, Ludwig (w/ Alex Nakao (Student)). “Measuring Hedge Fund Timing Ability Across Factors.” Journal of Investing, Winter 2011.
    16. Chincarini, Ludwig (w/ Salvatore Bruno). “A Multi-Asset Approach to Inflation Hedging for a US Investor.” Journal of Portfolio Management, Spring 2011, pp. 102-115.
    17. Chincarini, Ludwig. “No Chills or Burns from Temperature Surprises: An Empirical Analysis of the Weather Derivatives Market” Journal of Futures Markets, January 2011, pp. 1-33.
    18. Chincarini, Ludwig (w/ Christina Contreras (Student)). “Home Bias and International Betting Markets: Can Institutional Constraints and Behavioral Biases Lead to Arbitrage Profits?” Journal of Gambling and Economics, December 2010, pp. 20-30.
    19. Chincarini, Ludwig (w/ Salvatore Bruno). “A Historical Examination of Optimal Real Return Portfolios for Non-US Investors” Review of Financial Economics, October 2010, pp. 161-178.
    20. Chincarini, Ludwig (w/ Salvatore Bruno). “Optimal Real Return Portfolios” Investments and Wealth Monitor, July/August, 2010.
    21. Chincarini, Ludwig. “A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors, L.L.C.” Journal of Applied Finance, Spring/Summer, 2008.
    22. Chincarini, Ludwig. “Flexible Insurance for Separate Accounts.” ICFAI Journal of Risk and Insurance, July, 2008.
    23. Chincarini, Ludwig (w/ Neer Asherie). “An Analytical Model for the Formation of Economic Clusters.” Regional Science and Urban Economics, May, 2008.
    24. Chincarini, Ludwig (w/ Daehwan Kim). “Another Look at the Information Ratio.” Journal of Asset Management, December, 2007.
    25. Chincarini, Ludwig. “The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management.” Journal of Alternative Investments, Winter, 2007.
    26. Chincarini, Ludwig. “The Effectiveness of Global Currency Hedging After the Asian Crisis” Journal of Asset Management, May, 2007.
    27. Chincarini, Ludwig. (w/ Daehwan Kim & Taeyoon Sung). “Corporate Scandals and the Market Response of Dividend Payout Changes.” Applied Financial Economics, April 1, 2006. V.16, Issue 7, pp. 535.
    28. Chincarini, Ludwig. (w/ David Bieri). “Riding the Yield Curve: A Variety of Strategies.” Journal of Fixed Income (September, 2005).
    29. Chincarini, Ludwig. “Managing Cash Flows in Sector Portfolios.” Derivatives Uses, Trading, and Regulation 10.1 (2004): 27-45.
    30. Chincarini, Ludwig. (w/ Daehwan Kim). “The Advantages of Tax Managed Investing.” Journal of Portfolio Management, Fall, 2001, pp. 56-72.

      Book Chapters

    31. Chincarini, Ludwig. “Trading Futures to Manage Risk.” Chapter 25, Investment Risk Management, Forthcoming.
    32. Chincarini, Ludwig. “A Case Study of Amaranth Advisors.” Chapter 26, Energy, Finance, and Economics, February, 2013.
    33. Chincarini, Ludwig. “Hedge Funds: An Introduction.” Chapter 1, Research Handbook on Hedge Funds, Private Equity and Alternative Investments, April, 2012.

      Non-Peer Reviewed: Professional

      Creation of Equal-Weight Index

    34. Blitzer, David, Chincarini, Ludwig, Dellapa, Mike, and Srikant Dash. “The S&P 500 Equal Weight Index.” Standard and Poors Publication, 2003.

      Impact of Equal-Weight Index (not my work)

    35. Zeng and Luo. “10 Years Later: Where in the World is Equal Weight Indexing Now?” S&P Dow Jones Publication, April 2013.

      Student Business Journal Publication

    36. Chincarini, Ludwig, Etzkowitz, Alex (student), and Jon Kadish (student). “The Effects of Laddering and Spinning in Underwriter Manipulation of IPOs.” Michigan Journal of Business, September 2012, pp. 43-59.

      Non-Peer Reviewed: Past Working Papers

    37. Chincarini, Ludwig. (w/ John Love and Robert Nguyen) “Understanding Oil Investing.”
    38. Chincarini, Ludwig. “Forecasting Volatility and Asset Allocation: Are GARCH-type models useful?”
    39. Chincarini, Ludwig. “Technical Appendix to Real-Business Cycle Models and the Forecastable Movements in Output, Hours, and Consumption.”
    40. Chincarini, Ludwig. “The Failure of Long-Term Capital Management.”
    41. Chincarini, Ludwig. “The Expectations Theory in the Money Market: Details Matter.”
    42. Chincarini, Ludwig. “Experimental Evidence of Trigger Strategies in Repeated Games.”
    43. Chincarini, Ludwig. “Wages and Knowledge Transfer.”
    44. Chincarini, Ludwig and Guillermo Llorente. “Volume and Return Information on Individual Stocks.”

      Patents, Business Plans, and Company Ideas

    45. Chincarini, Ludwig (w/ Steve Wallman). “Method and Apparatus for Trading Securities or Other Instruments on Behalf of Customers.” United States Patent 09/516,792. Note: Chincarini involved in many other patents of same company.
    46. For example, Patent number US 8086514 would be invalid in a court of law (this patent is now owned by Goldman Sachs). The invention was by Ludwig Chincarini, but it was copied, symbols changed, and the patent inventor was listed as Steve Wallman. This is false. “Method and Apparatus for Rebalancing an Investment Portfolio Using a Portfolio Investment System.” United States Patent US 8,086,514. I informed Goldman Sachs about the problem, but so far they have ignored it. There are problems with other patents as well.
    47. Chincarini, Ludwig. “Method and Computer System of Creating, Storing, Producing, and Distributing Examinations.” United States Provisional Patent US 2010/0255453 A1.
    48. Chincarini, Ludwig. Financial Artists. One of the earliest business plans for the concept of Robo Advisors, November 2003.”
    49. Chincarini, Ludwig. Home Broker. An idea for an online real estate transaction platform. We abandoned the idea before even trying to raise money for it. December, 2016.