Peer-Reviewed
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- Chincarini, Ludwig (w/ several co-authors). “Non-Standard Errors” Journal of Finance, Forthcoming.
- Chincarini, Ludwig (w/ Mark Cannice and Ryan Leary). “Exploring Angel Investor Impact: Diving into the Shark Tank!” Journal of Alternative Investments, Forthcoming.
- Chincarini, Ludwig (w/ Fabio Moneta). “The Challenges of Oil Investing: Contango and the Financialization of Commodities” Energy Economics, Forthcoming.
- Chincarini, Ludwig (w/ Andrei Bolshakov and Christopher Lewis). “Enhanced Indexing and Selectivity Theory” European Financial Management, September 2022.
- Chincarini, Ludwig (w/ Daehwan Kim and Fabio Moneta). “Beta and Firm Age” Journal of Empirical Finance, Forthcoming.
- Chincarini, Ludwig. “Tracking Spot Oil: The Elusive Quest.” Journal of Commodity Markets, March, 2020.
- Chincarini, Ludwig (w/ Andrei Bolshakov). “Manager Skill and Portfolio Size with Respect to a Benchmark.” European Financial Management, February, 2020.
- Chincarini, Ludwig (w/ Frank J. Fabozzi). “Stephen A. Ross. Excellence Beyond Recognition.” Journal of Portfolio Management, July 2018.
- Chincarini, Ludwig (w/ Sal Bruno and Frank Ohara). “Portfolio Construction and Crowding.” Journal of Empirical Finance, March 9, 2018.
- Chincarini, Ludwig (w/ Tuan Anh Le (Student)). “Managing a Student Managed Fund. The University of San Francisco Experience.” The Journal of Trading, Winter 2018.
- Chincarini, Ludwig. “Transaction Costs and Crowding.” Quantitative Finance, August 2017.
- Chincarini, Ludwig. “The Impact of Quantitative Techniques on Hedge Fund Performance.” European Financial Management, November 2014.
- Chincarini, Ludwig (w/ Salvatore Bruno and Robert Whitelaw). “An Alternative Method to Construct Levered Indices .” Journal of Indexed Investing, Fall 2014.
- Chincarini, Ludwig (w/ Daehwan Kim). “On Uses and Misuses of the Black-Litterman Model in Portfolio Construction.” Journal of Mathematical Finance, March, 2013.
- Chincarini, Ludwig (w/ Alex Nakao (Student)). “Measuring Hedge Fund Timing Ability Across Factors.” Journal of Investing, Winter 2011.
- 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.
- 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.
- 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.
- 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.
- Chincarini, Ludwig (w/ Salvatore Bruno). “Optimal Real Return Portfolios” Investments and Wealth Monitor, July/August, 2010.
- 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.
- Chincarini, Ludwig. “Flexible Insurance for Separate Accounts.” ICFAI Journal of Risk and Insurance, July, 2008.
- Chincarini, Ludwig (w/ Neer Asherie). “An Analytical Model for the Formation of Economic Clusters.” Regional Science and Urban Economics, May, 2008.
- Chincarini, Ludwig (w/ Daehwan Kim). “Another Look at the Information Ratio.” Journal of Asset Management, December, 2007.
- Chincarini, Ludwig. “The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management.” Journal of Alternative Investments, Winter, 2007.
- Chincarini, Ludwig. “The Effectiveness of Global Currency Hedging After the Asian Crisis” Journal of Asset Management, May, 2007.
- 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.
- Chincarini, Ludwig. (w/ David Bieri). “Riding the Yield Curve: A Variety of Strategies.” Journal of Fixed Income (September, 2005).
- Chincarini, Ludwig. “Managing Cash Flows in Sector Portfolios.” Derivatives Uses, Trading, and Regulation 10.1 (2004): 27-45.
- Chincarini, Ludwig. (w/ Daehwan Kim). “The Advantages of Tax Managed Investing.” Journal of Portfolio Management, Fall, 2001, pp. 56-72.
Book Chapters
- Chincarini, Ludwig. “Trading Futures to Manage Risk.” Chapter 25, Investment Risk Management, Forthcoming.
- Chincarini, Ludwig. “A Case Study of Amaranth Advisors.” Chapter 26, Energy, Finance, and Economics, February, 2013.
- 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
- 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)
- 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
- 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
- Chincarini, Ludwig. (w/ John Love and Robert Nguyen) “Understanding Oil Investing.”
- Chincarini, Ludwig. “Forecasting Volatility and Asset Allocation: Are GARCH-type models useful?”
- Chincarini, Ludwig. “Technical Appendix to Real-Business Cycle Models and the Forecastable Movements in Output, Hours, and Consumption.”
- Chincarini, Ludwig. “The Failure of Long-Term Capital Management.”
- Chincarini, Ludwig. “The Expectations Theory in the Money Market: Details Matter.”
- Chincarini, Ludwig. “Experimental Evidence of Trigger Strategies in Repeated Games.”
- Chincarini, Ludwig. “Wages and Knowledge Transfer.”
- Chincarini, Ludwig and Guillermo Llorente. “Volume and Return Information on Individual Stocks.”
Patents, Business Plans, and Company Ideas
- Chincarini, Ludwig. Financial Artists. One of the earliest business plans for the concept of Robo Advisors, November 2003.”
- 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.
- Chincarini, Ludwig. “Method and Computer System of Creating, Storing, Producing, and Distributing Examinations.” United States Provisional Patent US 2010/0255453 A1.
- 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.