Lisa R. Goldberg

Lisa R. Goldberg is the Director of Research at the Center for Risk Management Research 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 on the Editorial Board of Financial Analysts Journal and she is an Associate Editor for the Journal of Investment Strategies. She is an expert judge for the Moskowitz Prize for Socially Responsible Investing, and a founding director of the Statistics Industry Alliance Program. Lisa is the Director of Research at Aperio Group.

Working and Published Papers

2014-02: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Determinants of Levered Portfolio Return" Earlier versions of this paper circulated under the title ‘The Decision to Lever.'”
2013-12: Lisa Goldberg, Ran Leshem, Patrick Geddes, "Restoring Value to Minimum Variance"
2012-05: Lisa R. Goldberg, Michael Y Hayes, Ola Mahmoud, "Minimizing Shortfall" (revised from working paper # 2011-01)
2011-01: Lisa R. Goldberg, Micahel Y. Hayes, Ola Mahmoud, "Minimizing Shortfall" (revised July 2012, working paper #2012-05)