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Enrique R. Arzac
Born1941
NationalityArgentine-American
Academic background
Alma mater Columbia University, University of Buenos Aires
Academic advisors William Vickrey, David W. Miller
Academic work
Discipline Financial economics
Institutions Columbia University
Website www0.gsb.columbia.edu/faculty/earzac/

Enrique R. Arzac (born 1941) [1] is a financial economist and Professor Emeritus of finance and economics at Columbia University specialized in corporate finance. [2]

Education

Enrique R. Arzac obtained a CPN degree from the University of Buenos Aires, and MBA, MA in economics and Ph.D. in financial economics from Columbia University. His research spans several areas of economics including asset pricing, commodity markets and corporate finance. [3]

Career

Arzac's contributions include the development of loss aversion asset pricing when investors follow a generalization of Roy's safety-first criterion. [4] [5] [6] Asset pricing under loss aversion provides the theoretical foundation for Value at risk portfolio management [7] and the framework for empirical research of the extreme returns observed in emerging markets [8] and after black swan events [9] (see, Black swan theory).

In a testimony given in 1985 to the United States Court of Appeals for the Federal Circuit, Arzac stated, testified without rebuttal that the appropriate method for calculating delay damages to make [the plaintiff] whole would be by using compound interest and showed the inequity of using simple interest. His testimony persuaded the Court that "compound interest may more nearly fit with the policy to accomplish complete justice as between the plaintiff and the United States" under the just compensation clause of the Fifth Amendment. [10] This landmark case effectively changed the centuries-old interpretation of the just compensation clause of the Fifth Amendment of the United States Constitution and has been the basis of compensation judgements ever since. [11]

References

  1. ^ "Credit Suisse High Yield Bond Fund".
  2. ^ "Enrique R. Arzac". Columbia Business School Directory. 15 September 2014.
  3. ^ Google Scholar Retrieved on August 23, 2020.
  4. ^ Arzac, E. and Bawa, V. S.(1977), “Portfolio Choice and Equilibrium in Capital Markets with Safety-First Investors,” Journal of Financial Economics, 4, 277-288, Retrieved June 24, 2021.
  5. ^ Jansen, D. W., K.G. Koedijk and C. G. de Vries (2000), “Portfolio selection with limited downside risk,” Journal of Empirical Finance, 7, 247-269, Retrieved September 23, 2020.
  6. ^ Broihanne, M-H., Merli, M. and Roger P. (2006), “Théorie comportementale du portefeuille,” Revue économique, 57, 2, 297-314. Retrieved October 20, 2020.
  7. ^ Campbell, R., R. Huisman and K. Koedijk (2001), “Optimal portfolio selection in a Value-at-Risk framework,” Journal of Banking and Finance, 25, 1789-1904, Retrieved September 23, 2020.
  8. ^ Susmel, R. (2001), “Extreme observations and diversification in Latin American emerging equity markets,” Journal of International Money and Finance, 20, 971-986. Retrieved September 23, 2020.
  9. ^ Haque, M. and O. Varela (2010), “Safety-first portfolio optimization after September 11, 2001,” The Journal of Risk Finance, Vol. 11 No. 1, 20-61. Retrieved September 23, 2020.
  10. ^ Dynamic Corporation of America v. The United States. Retrieved on August 23, 2020.
  11. ^ Citing Cases: Hughes Aircraft Company v. U.S. and other cases. Retrieved on August 23, 2020

External links

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