CURRICULUM VITAE

 

Sanford J. Grossman, Ph.D.

 

Quantitative Financial Strategies, Inc.

Four Stamford Plaza

107 Elm Street, Suite 500B

Stamford, CT 06902

 

(203) 602-0077

 

 

Education

 

B.A. (Honors), Economics, University of Chicago, June 1973

 

M.A., Economics, University of Chicago, June 1974

 

Ph.D., Economics, University of Chicago, June 1975

 

 

Employment

 

Chairman, Chief Executive Officer and President, Quantitative Financial Strategies, Inc., 1988 - present

Steinberg Trustee Professor of Finance Emeritus, The Wharton School, University of Pennsylvania, 2000 present

 

Steinberg Trustee Professor of Finance, The Wharton School, University of Pennsylvania, July 1989 - 2000

 

John L. Weinberg Professor of Economics, Princeton University, June 1985 - July 1989

 

Professor, University of Chicago, July 1981 - June 1985

 

Professor, University of Pennsylvania, July 1979 - July 1981

 

Associate Professor, University of Pennsylvania, September 1978 - June 1979

 

Economist, Board of Governors, Federal Reserve System, September 1977 - August 1978

 

Assistant Professor, Stanford University, September 1975 - September 1977

 

 

Appointments

 

Director of the Wharton Center for Quantitative Finance, December 1994 March 2001

Public Director of the Board of Directors, Chicago Board of Trade, 1992 - 1996

 

President of the American Finance Association, 1994

 

President-Elect of the American Finance Association, 1993

 

Vice President of the American Finance Association, 1992

Director of the American Finance Association, 1988 - 1992


 

Awards and Fellowships

 

Fellow of The American Finance Association, 2000

 

Recipient of Mathematical Finance 1993 Best Paper Awards for "Optimal Investment Strategies for Controlling Drawdowns," co-authored with Zhongquan Zhou.

Graham and Dodd Scroll Prize for "Program Trading and Market Volatility: A Report on Interday Relationships," 1988.

 

Winner of the Roger F. Murray Prize, Institute for Quantitative Research in Finance, 1988

 

John Bates Clark Medal, 1987

 

Irving Fisher Graduate Monograph Award

 

Elected Fellow of the American Academy of Arts and Sciences, 1988

 

Elected Fellow of the Econometric Society, 1980

 

Alfred P. Sloan Foundation Fellowship

 

John Simon Guggenheim Memorial Fellowship

 

Lilly Foundation Honor Fellowship

 

Phi Beta Kappa

 

B.A. Honors with Special Honors in Economics

 

 

Grants

 

National Science Foundation Summer Grant to Undergraduates

 

NSF Grant SOC 76-28771, "Information and Competitive Prices"

 

NSF Grant SOC 79-13429, "Theory of the Corporation"

 

NSF Grant SES 81-12036, "Incentives, Information, Competitive Price Systems and the Business Cycle"

 

NSF Grant SES-8509227, "Incentives, Information, and Monetary Economics"

 

NSF Grant SES-8808461, "Information, Asset Pricing, and Corporate Governance"

Professional Associations and Editorial Positions

 

American Finance Association

American Economic Association

Econometric Society

Member of the Academic Advisory Panel, Federal Reserve Bank of New York, 1990

Research Associate, National Bureau of Economic Research, 1994

Editorial Board of Advisors, Journal of Accounting, Auditing, and Finance, 1986 - 1990

Editorial Board, Finance India, 1994 -

Advisory Board, Mathematical Finance, 1994 -

American Editor, Review of Economic Studies, 1979 - 1982

Associate Editor, Journal of Finance, 1978 - 1983

Associate Editor, Journal of Economic Theory, 1979 - 1990

Associate Editor, The Review of Financial Studies, 1988 - 1990

Associate Editor, Journal of Derivatives, 1992 - present

Associate Editor, Journal of Financial and Quantitative Analysis, 1993 - present

Associate Editor, Review of Derivatives Research, 1994 -

 

Publications

 

"Rational Expectations and the Economic Modelling of Markets Subject to Uncertainty: A Bayesian Approach," Journal of Econometrics, Vol. 3 (3), 1975, pp. 255-272.

 

"Equilibrium Under Uncertainty and Bayesian Adaptive Control Theory," Adaptive Economic Models, eds. R. Day and T. Groves, Academic Press, New York, 1975, pp. 279-307.

 

"On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information," Journal of Finance, Vol. 31 (2), 1976, pp. 573-584.

 

"Information and Competitive Price Systems," with J.E. Stiglitz, American Economic Review, Vol. 66 (2), 1976, pp. 246-253.

 

"On Value Maximization and Alternative Objectives of the Firm," with J.E. Stiglitz, Journal of Finance, Vol. 32 (2), 1977, pp. 389-402.

 

"A Characterization of the Optimality of Equilibrium in Incomplete Markets," Journal of Economic Theory, Vol. 15 (2), 1977, pp. 1-15.

 

"The Existence of Future Markets, Noisy Rational Expectations and Informational Externalities," Review of Economic Studies, Vol. 64 (3), October 1977, pp. 431-449.

 

"A Bayesian Approach to the Production of Information and Learning by Doing," with R.E. Kihlstrom and L.J. Mirman, Review of Economics Studies, Vol. 64, October 1977, pp. 533-547.

 

"Further Results on the Informational Efficiency of Competitive Stock Markets," Journal of Economic Theory, Vol. 18 (1), June 1978, pp. 81-101.

 

"A Theory of Competitive Equilibrium in Stock Market Economies," with Oliver Hart, Econometrica, Vol. 47 (2), March 1979, pp. 293-330.

 

"Consumption under Uncertainty," with D. Levhari and L. Mirman, General Equilibrium, Growth, and Trade, eds. Green and Scheinkman, Academic Press, New York, 1979, pp. 105-124.

 

"Take-Over Bids: The Managerial Theory of the Firm and the Free Rider Problem," with Oliver Hart, Contemporary Economic Analysis, Vol. 2, eds. David A. Currie, William Peters, and Croom Helm London, 1980, pp. 461-468.

 

"On the Impossibility of Informationally Efficient Markets," with J.E. Stiglitz, American Economic Review, Vol. 70 (3), June 1980, pp. 393-408.

 

"Stockholder Unanimity in Making Production and Financial Decisions," with J.E. Stiglitz, Quarterly Journal of Economics, Vol. 94 (3), May 1980, pp. 543-566.

 

"Disclosure Laws and Takeover Bids," with Oliver Hart, Journal of Finance, May 1980, pp. 323-334.

 

"Takeover Bids, the Free-Rider Problem, and the Theory of the Corporation," with Oliver Hart, Bell Journal of Economics, Vol. 11 (1), Spring 1980, pp. 42-64.

 

"Nash Equilibrium and the Industrial Organization of Markets with Large Fixed Costs," Econometrica, September 1981, pp. 1149-1172.

 

"Implicit Contracts, Moral Hazard and Unemployment," with Oliver Hart, American Economic Review, Vol. 71 (2), 1981, pp. 301-307.

 

"The Determinants of the Variability of Stock Market Prices," with R. Shiller, American Economic Review, Vol. 71 (2), 1981, pp. 222-227.

 

"The Allocational Role of Takeover Bids in Situations of Asymmetric Information," with Oliver Hart, Journal of Finance, Vol. 36 (2), 1981, pp. 253-270.

 

"An Introduction to the Theory of Rational Expectations Under Asymmetric Information," Review of Economic Studies, Vol. 48, October 1981, pp. 541-559.

 

"The Informational Role of Warranties and Private Disclosure About Product Quality," Journal of Law and Economics, December 1981, pp. 461-483.

 

"Corporate Financial Structure and Managerial Incentives," with Oliver Hart, The Economics of Information and Uncertainty, ed. John McCall, University of Chicago Press, Chicago, 1982, pp. 107-140.

 

"Heterogeneous Information and the Theory of the Business Cycle," with L. Weiss, Journal of Political Economy, Vol. 90 (4), August 1982, pp. 699-727.

 

"An Analysis of the Principal-Agent Problem," with Oliver Hart, Econometrica, Vol. 51 (1), January 1983, pp. 7-46.

 

"Consumption Correlatedness and Risk Measurement in Economies with Non-Traded Assets, and Heterogeneous Information," with R. Shiller, Journal of Financial Economics, Vol. 10 (2), July 1982, pp. 195-210.

"Monetary Non-Neutrality When Prices are Observables," with L. Weiss, Savings, Investment, and Capital Markets in an Inflationary Economy, eds. Marshall Sarnal and Girogio Szego, Ballinger Publishing Co., Cambridge, MA, 1982, pp. 313-314.

 

"Implicit Contracts under Asymmetric Information," with Oliver Hart, Quarterly Journal of Economics, Vol. 98, 1983, pp. 123-156.

 

"Integration," with David Evans, Breaking Up Bell, Essays on Industrial Organization and Regulation, ed. David Evans, North Holland Publishing Co., New York, 1983, pp. 95-126.

 

"A Transactions Based Model of the Monetary Transmission Mechanism," with L. Weiss, American Economic Review, Vol. 73 (5), December 1983, pp. 871-880.

 

"Unemployment with Observable Aggregate Shocks," with Oliver Hart and Eric Maskin, Journal of Political Economy, December 1983, pp. 907-928.

 

"Savings and Insurance," with L. Weiss, Bayesian Models in Economic Theory, eds. M. Boyer and R. Kihlstrom, Elsevier Science Publishers B.V. Lausanne, 1984, pp. 303-311.

 

"Customer Protection in Futures and Securities Markets," with Daniel R. Fischel, Journal of Futures Markets, Vol. 4 (3), 1984, pp. 273-295.

 

"The Costs and Benefits of Ownership: A Theory of Vertical Integration," with Oliver Hart, Journal of Political Economy, Vol. 94 (4), August 1986, pp. 691-719.

 

"Economic Costs and Benefits of the Proposed One-Minute Time Bracketing Regulations," with M. Miller, Journal of Futures Markets, Vol. 6 (1) 1986, pp. 141-166.

 

"An Analysis of the Role of 'Insider Trading' on Futures Markets," Journal of Business, Vol. 59 (2), II, April 1986, pp. 5129-5146.

 

"Vertical Integration and the Distribution of Property Rights," with Oliver Hart, Economic Policy in Theory and Practice, eds. Razin and Sadka, The Macmillan Press Ltd., London, 1987, pp. 504-546.

 

"Sequential Bargaining Under Asymmetric Information," with Motty Perry, Journal of Economic Theory, Vol. 39 (1), June 1986, pp. 120-154.

 

"Perfect Sequential Equilibrium," with Motty Perry, Journal of Economic Theory, Vol. 39 (1), June 1986, pp. 97-119.

 

"Monetary Dynamics with Proportional Transactions Cost and Fixed Payment Periods," New Approaches to Monetary Economics, eds. William Barnett and Kenneth Singleton, Cambridge University Press, 1987, pp. 3-40.

 

"Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," with A. Melino and R.J. Shiller, Journal of Business & Economic Statistics, Vol. 5 (3), July 1987, pp. 315-327.

 

"Program Trading and Stock and Futures Price Volatility," Journal of Futures Markets, Vol. 8 (4), August 1988, pp. 413-419.

 

"One Share/One Vote and the Market for Corporate Control," with Oliver D. Hart, Journal of Financial Economics, Vol. 20 (1/2), January/March 1988, pp. 175-202.

 

"An Analysis of the Implications for Stock and Futures Price Volatility of Program Trading and Dynamic Hedging Strategies," Journal of Business, Vol. 61 (3), July 1988, pp. 275-298.

 

"Insurance Seen and Unseen: The Impact on Markets," The Journal of Portfolio Management, Vol. 14, Summer 1988, pp. 5-8.

 

"Liquidity and Market Structure" with Merton Miller, The Journal of Finance, Vol. 43 (3), July 1988, pp. 617-637.

 

"Program Trading and Market Volatility: A Report on Interday Relationships," Financial Analysts Journal, July/August 1988, pp. 18-28.

 

"Derivative Securities, Dynamic Hedging and Stock Market Volatility," MTEC Journal, 1st issue, October 1988, pp. 1-15.

 

"Rational Expectations and the Informational Role of Prices," Modern Business Cycle Theory, ed. Robert J. Barro, Harvard University Press, Cambridge, MA, 1989, pp. 128-152.

 

"Informational Tactical Asset Allocation," MTEC Journal, 2nd issue, August 1989, pp. 7-24.

 

"Portfolio Insurance in Complete Markets: A Note," with Jean Luc Vila, The Journal of Business, Vol. 62 (4), October 1989, pp. 473-476.

 

"Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," with Guy Laroque, Econometrica, Vol. 58 (1), January 1990, pp. 25-51.

 

"Trading Technology and Financial Market Stability," Innovation and Technology in the Markets: A Reordering of the World's Capital Market Systems, ed. Daniel R. Siegel, Probus Publishing Company, Chicago, IL, 1990, pp. 47-57.

 

"Market Liquidity and Trading Technology," MTEC Journal, 3rd Issue, July 1990, pp. 7-17.

 

"Optimal Dynamic Trading with Leverage Constraints" with Jean-Luc Vila, Journal of Financial and Quantitative Analysis, Vol. 27 (2), June 1992, pp. 151-168.

 

"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, Vol. 6 (2), 1991, pp. 51-56.

 

"The Informational Role of Upstairs and Downstairs Trading," The Journal of Business, Vol 65 (4), October 1992, pp. 509-528.

 

"Informational Portfolio Strategies for Dynamic Asset Allocation," MTEC Journal, Vol 5, November 1992, pp. 3-15.


"The Case for Eliminating Position Limits on Financial Futures," Journal of Financial Engineering,

Vol. 2 (1), September 1992, pp. 39-42.

 

"A Proposal for the Reform of Disclosure Requirements for Managed Futures," Journal of Financial Engineering, Vol 2 (1), September 1992, pp. 55-58.

 

"Optimal Investment Strategies for Controlling Drawdowns," with Zhongquan Zhou, Mathematical Finance, Vol. 3 (3), July 1993, pp. 241-276.

 

"Trading Volume and Serial Correlation in Stock Returns," with John Y. Campbell and Jiang Wang,

Quarterly Journal of Economics, Vol. CVIII (4), November 1993, pp. 905-939.

 

"Equilibrium Analysis of Portfolio Insurance," with Zhongquan Zhou, The Journal of Finance, Vol. LI,

No. 4, September 1996, pp. 1379 - 1403.

 

 

Research Papers

 

 

"A Transactions Based Model of the Monetary Transmission Mechanism, Part 2," National Bureau of Economic Research, Inc., Working Paper No. 974, September 1982.

 

"A Transaction Cost Based Model of Asset Risk Premia," May 1983.

 

"Price and Interest Rate Dynamics in a Transactions Based Model of Money Demand," with J. Bona, November 1983.

 

"An Economic Analysis of Dual Trading," Rodney L. White Center for Financial Research, Working Paper Number 33-89, 1989.

 

"Optimal Portfolio Rebalancing with Transaction Costs," with W. Fleming, J.L. Vila, T. Zariphopoulou, March 1990.

 

"Institutional Investing and New Trading Technologies," prepared for the Market Volatility and Investor Confidence Panel of the NYSE, June 7, 1990.

 

 

Books

 

Grossman, Sanford J., "The Informational Role of Prices," MIT Press, Cambridge, MA (1989).

 

 

 

March, 2002