Lisa Goldberg

Adjunct Professor
Primary Research Area: 
Applied & Theoretical Statistics
Sub-Focus: 
Applied Statistics, Bayesian Statistics, Statistics in Social Sciences, Theory of Statistics
Email: 
lrg [at] berkeley [dot] edu
Office / Location: 
339 Evans Hall

Please visit the Consortium For Data Analytics In Risk (CDAR), which was launched in 2015 with a generous grant from State Street.  CDAR performs and disseminates research on the most important and pressing issues concerning financial markets and risk management. The Consortium supports a collaborative group of researchers that is intellectually and geographically diverse, and we aspire to integrate best practices from academia and industry. 

CDAR research pages discuss the dispersion bias,  the identification of financial risk factors via convex optimization, interest rates implied by futures markets, risk due to leverage,  drawdown riskcounterparty risk and the hot hand in basketball. More research can be found on my SSRN page.

Practical research on financial markets can be found on the blog at Aperio Group, a Sausalito-based wealth management firm specializing in customized strategies and impact investing.

Numberphile is a great place to learn about mathematics, statistics and economics, and it features videos on the the Monty Hall Problem  and the Hot Hand.

 

Research Interests: 

Financial economics, statistical evaluation of investment strategies, asset allocation, credit and counterparty risk, socially responsible investing

My primary interest is the development of a broad, widely applicable, statistically sound, quantitative framework for measuring and managing financial risk. This is very topical and important, given the turbulence that has plagued financial markets during the last twelve months. With colleagues at MSCI Barra, I am working on extreme risk attribution, generalized portfolio optimization, and the development of downside safe financial indices. Many of my research articles can be found in the MSCI Barra Research Library, and some are posted on the Social Sciences Research Network.