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Enrique R. Arzac

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Enrique R. Arzac
NationalityAmerican
Academic background
Alma materColumbia University, University of Buenos Aires
Academic advisorsWilliam Vickrey, David W. Miller
Academic work
DisciplineFinancial economics
InstitutionsColumbia University
Websitewww0.gsb.columbia.edu/faculty/earzac/

Enrique R. Arzac is a financial economist[1] and Professor Emeritus of finance and economics at Columbia University specialized in asset pricing and corporate finance.[2] Previously he was tenured Professor of Finance and Economics and served as the Senior Vice-Dean and Chairman of the Finance Division of the Columbia University Graduate School of Business. Before joining Columbia Arzac taught at the University of Buenos Aires, and was Chief Economist of the Latin American Economic Research Foundation.[3]

Education

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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.[4][5]

Career

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Arzac's contributions include the development of loss aversion asset pricing when investors follow a generalization of Roy's safety-first criterion.[6][7][8] Asset pricing under loss aversion provides the theoretical foundation for Value at risk portfolio management[9] and the framework for empirical research of the extreme returns observed in emerging markets[10] and after black swan events[11][12] (see, Black swan theory and Heavy-tailed distribution).

Since 1982 he has served as director of investment companies, including Adams Diversified Equity Fund, Adams Natural Resources Fund, Abrdn Asset Management and chairman of its emerging market funds, Abrdn EFF securities, Abrdn Asia Pacific Income Investment Co., Credit Suisse Asset Management and chairman of its high yield income funds, Mirae Asset Securities (USA) Inc., Epoch Holding Corporation and NEXT Investors LLC.[13][14][15]

Arzac served as a financial consultant to the State of New Jersey, the United Nations Conference on Trade Development and several U.S. and foreign firms. In a testimony given in 1985 to the United States Court of Appeals for the Federal Circuit, Arzac 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.[16] 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.[17]

References

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  1. ^ "Credit Suisse High Yield Bond Fund".
  2. ^ "Enrique R. Arzac". Columbia Business School Directory. 15 September 2014.
  3. ^ "Enrique Arzac Professor Emeritus Finance Division". columbia.edu.
  4. ^ "A Reconsideration of Safety First". Columbia University Research Papers No. 90. 1 January 1975.
  5. ^ Google Scholar Retrieved on August 23, 2020.
  6. ^ Arzac, Enrique R.; Bawa, Vijay S. (1977). "Portfolio choice and equilibrium in capital markets with safety-first investors". Journal of Financial Economics. 4 (3): 277–288. doi:10.1016/0304-405X(77)90003-4.
  7. ^ Jansen, Dennis W.; Koedijk, Kees G.; de Vries, Casper G. (2000). "Portfolio selection with limited downside risk". Journal of Empirical Finance. 7 (3–4): 247–269. doi:10.1016/S0927-5398(00)00016-5.
  8. ^ Broihanne, Marie-Hélène; Merli, Maxime; Roger, Patrick (2006). "Théorie comportementale du portefeuille: Intérêt et limites". Revue Économique. 57 (2): 297–314. doi:10.3917/reco.572.0297. JSTOR 25483753.
  9. ^ Campbell, Rachel; Huisman, Ronald; Koedijk, Kees (2001). "Optimal portfolio selection in a Value-at-Risk framework". Journal of Banking & Finance. 25 (9): 1789–1804. doi:10.1016/S0378-4266(00)00160-6. ISSN 0378-4266.
  10. ^ Susmel, Raul (2001). "Extreme observations and diversification in Latin American emerging equity markets". Journal of International Money and Finance. 20 (7): 971–986. doi:10.1016/S0261-5606(01)00014-6.
  11. ^ Haque, Mahfuzul; Varela, Oscar (2010). "Safety-first portfolio optimization after September 11, 2001". The Journal of Risk Finance. 11 (1): 20–61. doi:10.1108/15265941011012679. ISSN 1526-5943.
  12. ^ "Rhee, S. G. and F. (H.) Wu, 2020, Conditional extreme risk, black swan hedging, and asset pricing, Journal of Empirical Finance, 58, 412-435" (PDF). www2.hawaii.edu.
  13. ^ "Proxy Statement Pursuant to Section 14(a) of the Securities Exchange Act of 1934". www.sec.gov.
  14. ^ "ABERDEEN CHILE FUND, INC". www.sec.gov.
  15. ^ "DEF 14A". www.sec.gov.
  16. ^ Dynamic Corporation of America v. The United States. Retrieved on August 23, 2020.
  17. ^ Citing Cases: Hughes Aircraft Company v. U.S. and other cases. Retrieved on August 23, 2020

Books

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Arzac is the author of Valuation for Mergers, Buyouts and Restructuring, 2nd ed., John Wiley and Sons, 2008. (Translated into Japanese, Chuo Keizai Sha, Inc., Tokyo, 2009 and Chinese, Dang-Dang/Wiley, Beijing, 2012.)

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