Chi-fu Huang

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Chi-fu Huang
Nationality U.S.
Alma materStanford University (Ph.D. 1983)
National Taiwan University (B.A. 1977)
Known forFixed income relative value investment management; dynamic general equilibrium theory under uncertainty; Optimal consumption and portfolio decisions under uncertainty in continuous time.
Scientific career
FieldsFinancial economics, Relative Value Investment Management, Ventures Investing
InstitutionsPlatinum Grove Asset Management 1999-2013
LTCM 1995-99
Goldman Sachs 1993-94
MIT 1983-93
Doctoral advisorDavid M. Kreps

Chi-fu Huang (黄奇辅; born 1955) is a private investor, retired hedge fund manager, and former finance academic. During his career, Huang has contributed to the theory of financial economics, written on dynamic general equilibrium theory, intertemporal utility theory, and the theory of individual consumption and portfolio decisions.

He is also a managing member of CMASH, LLC, a member of the Management Committee of Starling Ventures LLC, a board member of DeepMacro, 9M Technologies, and an owner of numbersgamewines.com. He serves on the advisory board of the Dean of School of Sciences, Massachusetts Institute of Technology.

Early life[edit]

Huang received his B.A. in Economics from National Taiwan University in 1977 and Ph.D. in Financial Economics from Stanford University in the United States in 1983. He was on the faculty of the MIT Sloan School of Management[1] from 1983 to 1994, and was a full professor holding the J.C. Penney Professorship in Finance when he left MIT in the summer of 1994.

Career[edit]

Huang co-founded, with Myron Scholes, Platinum Grove Asset Management L.P. (PGAM), an investment management company based in Rye Brook, New York, in 1999. He was the Chief Executive Officer and Chief Investment Officer of PGAM from 1999 to 2009, and served as Non-Executive Chairman from 2010 to 2013. (See Myron Scholes.) PGAM was one of the largest fixed income relative value focused hedge funds during the 10 years that Huang served as CEO and CIO.

Before founding PGAM, Huang was with Long Term Capital Management L.P. (LTCM) from 1995 to 1999 and was a Partner and Co-Head of its Asia office in Tokyo from 1997 until 1999. Huang held these positions when, in the wake of the 1997 Asian Financial Crisis and 1998 Russian Financial Crisis, the fund lost $4.6 billion and was recapitalized by a bailout of $3.6 billion brokered by the Federal Reserve Bank of New York.[2] Huang and Scholes had moved on to PGAM by the time LTCM was dissolved in 2000. Prior to LTCM, he was Head of Fixed Income Derivatives Research at Goldman, Sachs & Co. in New York from 1993 to 1994.

Huang was an editor of Review of Financial Studies and an associate editor of Journal of Economic Theory, Journal of Financial and Quantitative Analysis, Mathematical Finance, and Journal of Mathematical Economics. He is the author of more than 30 articles and is co-author, with Robert H. Litzenberger, of Foundations for Financial Economics (Prentice Hall, 1988. ISBN 0135006538.), a textbook for graduate students in financial markets.

Research[edit]

As an academic, his most extensive work has been in dynamic general equilibrium theory, where he has developed two main themes. The first theme concerns the relations between the revelation of new information to the agents in an economy and the characteristics of asset prices in an economy. His results justified some key assumptions underlying much of the modern work on asset pricing.

The second main theme concerns the critical allocational role of securities markets. Previous research suggested that an efficient allocation of resources would require markets for far more securities than actually exist. Huang's work shifted the focus of discussion from the number of markets to the nature of dynamic trading opportunities. He showed that an efficient allocation of resources could in fact be obtained with relatively few securities as long as these securities could be traded continuously.

In his work on individual consumption and portfolio decisions, Huang provided a new approach to this classic economic topic. Many inherent dynamic optimization problems in this area have proved impossible to solve. Huang showed how these seemingly intractable problems can be broken into two easy-to-solve parts, one involving a static optimization problem and the other a dynamic problem without optimization.

Huang's work on utility theory has allowed researchers to include in their models some intuitively appealing aspects of individual preferences that were previously ignored because they were too difficult to formalize. Additionally, he has expanded the applicability of auction theory to financial markets by studying price behavior in actions conducted by participants who are purchasing items for resale rather than for their own use.

References[edit]

  1. ^ Bernstein, Peter L. (31 January 2011). Capital Ideas Evolving. John Wiley & Sons. p. 111. ISBN 978-1-118-04620-3.
  2. ^ "Too Interconnected to Fail?" Stephen Slivinski, senior editor of Region Focus, quarterly publication of the Federal Reserve Branch of Richmond [Virginia], which is the 5th of 12 districts of the U.S. Federal Reserve system, Summer 2009.

External links[edit]

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