Faculty and Staff - Pankaj Agrrawal
Phone:
207-581-1983
E-mail/Web:
pankaj.agrrawal@maine.edu
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Address:
305 DPC Business Building
University of Maine
Orono, ME 04469
Dr. Agrrawal joined UMaine in 2005 with over eight years of professional experience in quantitative investments research and portfolio management, earlier he was portfolio manager and director of research at leading global asset management firms based in San Francisco, Boston, London, Philadelphia. Over that period he also designed and taught graduate finance courses at various universities (Golden Gate - San Francisco, Harvard Extn. - Cambridge, Drexel - Philadelphia). He has more than twenty papers at refereed conferences and has published five, including one in the Financial Analysts Journal and the Journal of Investing. His paper on trigonometric testing for portfolio efficiency received the Best Doctoral Paper Award at the 1996 South Western Finance Conference in San Antonio, Texas. His research has been referenced in German, Swiss and Taiwanese Journals. His biographical profile is included in Marquis Who's Who in Finance and Industry. In 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance).
Education
B.A. (Hons.), M.A. (Econ.), University of Delhi,1990; M.A., Ph.D. (Finance), University of Alabama (1996)
Research interests
The "Effects of Interval and Period Switching in the Estimation and Stationarity of Market Betas" and developing multi-constraint optimized long-short market-neutral hedged portfolios using ETF's as primary assets. Other research interests include the role of cognitive biases and heuristics in the decision making process as applied to the capital markets, and devising Alpha-return techniques that utilize portfolio risk exposures to drive returns.
Some selected publications:
- "ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals", with John M. Clark, Institutional Investor Journals, Annual ETF & Indexing Innovations Issue, pp. 96-103, Fall 2007.
- "The Stock-REIT Relationship and Optimal Asset Allocations", with Doug Waggle, Journal of Real Estate Portfolio Management, Vol. 12, #3, Fall 2006.
- "Interaction Between Value Line's Timeliness and Safety Ranks," with Doug Waggle and Don Johnson, Journal of Investing, Vol. 10, No. 1, Spring 2001.
- "The Effects of Blending Primary and Diluted EPS Data," with Ralph Goldsticker, Financial Analysts Journal, Vol. 55, No. 2, March/April 1999.
- "The Product Life Cycle: A Paradigm for Understanding Financial Management," with Dr. Benton Gup, Journal of Financial Practice and Education, Fall/Winter, 1996.
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