Stephen Bianchi

Stephen received his Ph.D. in the Economics department at UC Berkeley in 2014, specializing in financial economics and econometrics. He holds an M.S. in Management Science & Engineering from Stanford University as well as the Chartered Financial Analyst designation. Prior to entering the Ph.D. program, Stephen worked in the fixed income research group at MSCI Barra, where his responsibilities included term structure and credit spread curve estimation and the development of fixed income risk models for the United States and Japan. His current interests include applications of quantile regression in empirical finance and the use of generalized deviation measures in the context of the Capital Asset Pricing Model, in factor analysis, and in portfolio construction. Stephen is also a lecturer in the Economics department at UC Berkeley.

Working 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.'”
2014-05: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "In Search of Statistically Valid Risk Factors" Revised from working paper #2013-01
2013-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "The Decision to Lever" Revised Version July 26, 2013 Revised Working Paper #2013-09,Revised Version March 23, 2014
2013-09:  Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "The Decision to Lever" (revised from working paper #2013-01)
2013-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "In Search of a Statistically Valid Volatility Risk Factor" (revised from working paper # 2012-10)
2012-01: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Will My Risk Parity Strategy Outperform?" (revised from working paper #2011-04)
2012-10: Robert M Anderson, Stephen Bianchi, Lisa R. Goldberg,, "A Comment on “The Cross-Section of Volatility and Expected Returns”: The Statistical Significance of FVIX is Driven by a Single Outlier" (revised working paper # 2013-01)
2011-04: Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg, "Will My Risk Parity Strategy Outperform?" (revised March 2012, working paper # 2012 -01)