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