Lisa R. Goldberg is a Co-Director of the Consortium for Data Analytics in Risk and Adjunct Professor of Statistics at University of California, Berkeley. Lisa received a B.A. in Mathematics from University of Rochester in 1978 and a Ph.D. in Mathematics from Brandeis University in 1984, under the supervision of Edgar Brown, Jr. Lisa was Einstein Assistant Professor, Associate Professor and Professor of Mathematics at City University of New York between 1982 and 1993. She was a Post-Doctoral Fellow at the Mathematical Sciences Research Institute in Berkeley in 1986 and a Member of the Institute for Advanced Study in Princeton from 1986 to 1987. In 1991-1992, Lisa was a Visiting Professor of Mathematics at University of California, Berkeley, and in 1992-1993, she returned to the Mathematical Sciences Research Institute as a Research Professor.
In 1993, Lisa left academia to join Barra, the leading provider of quantitative risk management tools to the financial services industry. At Barra, Lisa was principal scientist for industry standard fixed income and multi-asset class risk models, mentor to junior researchers, and corporate spokesperson to clients, to the media and to the research community. In 2004, Barra merged with MSCI and Lisa became Executive Director of Research. After the merger, Lisa’s research focused on credit, risk due to extreme events and asset allocation.
Lisa has been awarded numerous research grants including an Alfred P. Sloan Fellowship and an NSF Visiting Professorship for Women. Lisa is an inventor on five patents; she is the author of more than forty articles in peer-reviewed journals and a book,Portfolio Risk Analysis,which was published by Princeton University Press in 2010. Lisa is Book Review Editor forQuantitative Finance,she is on the Editorial Board ofFinancial Analysts Journaland she is an Associate Editor for theJournal of Investment Strategies. She is on the Academic Advisory Board of the Consortium for Systemic Risk Analytics and the Board of theJournal of Investment Management conference series. She is an expert judge for the Moskowitz Prize for Socially Responsible Investing. Lisa is the Director of Research at Aperio Group, which is a Sausalito-based wealth management firm.
Working Papers2016: Nicholas L. Gunther, Robert M. Anderson and Lisa R. Goldberg, "The Implied Futures Financing Rate"
2016: Alexander D. Shkolnik, Lisa R. Goldberg and Jeffrey R. Bohn, "Identifying Broad and Narrow Financial Risk Factors with Convex Optimization"
2016: Stephen W. Bianchi, Lisa R. Goldberg, Allan Rosenberg, "The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk"
2016: Lisa Goldberg, Ran Leshem and Alan Cummings, "Optimizing Value"
2016: Lisa Goldberg and Ola Mahmoud, "Drawdown: From Practice to Theory and Back Again"
2014: Robert M. Anderson, Stephen W. Bianchi, CFA, and Lisa R. Goldberg, "Determinants of Levered Portfolio Performance" (Copyright 2014, CFA Institute. Reproduced and republished from Financial Analysts Journal with permission from CFA Institute. All Rights Reserved.)
2014: Samim Ghamami and Lisa Goldberg, "Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA"
2013: Lisa Goldberg, Ran Leshem and Patrick Geddes, "Restoring Value to Minimum Variance"
2013: Robert M. Anderson, Ph.D., Stephen W. Bianchi, CFA, and Lisa R. Goldberg, Ph.D, "The Dynamics of Rising Interest Rates" (Copyright 2013, Thomson Reuters. Reproduced and republished with permission from Thomson Reuters. All Rights Reserved.)
2012: Robert M. Anderson, Stephen W. Bianchi, CFA, and Lisa R. Goldberg, "Will My Risk Parity Strategy Outperform?" (Copyright 2012, CFA Institute. Reproduced and republished from Financial Analysts Journal with permission from CFA Institute. All Rights Reserved.)