mathematics

Lisa Goldberg

Lisa Goldberg is a mathematics topic covered in the lgStudy science library. This page brings together a partial reference excerpt, illustrations, worked examples, real-world applications and a short study plan, so you can understand Lisa Goldberg rather than just read about it. In short: Lisa Goldberg is a financial economist and statistician who serves at the University of California, Berkeley as director of research at the Center for Risk Management Research and as Adjunct Professor of Statistics. She is also the Co-Director for the Consortium for Data Analytics in Risk at UC Berkeley.

Key takeaways

Lisa Goldberg belongs to mathematics; place it in that map before memorising details.
Learn the definition first, then one example that makes the definition concrete.
Connect Lisa Goldberg to a quantity you can measure, compute or draw — that is where exam questions come from.
Reproduce the core statement of Lisa Goldberg from memory before moving on to harder problems.

Reference excerpt

Lisa Goldberg is a financial economist and statistician who serves at the University of California, Berkeley as director of research at the Center for Risk Management Research and as Adjunct Professor of Statistics. She is also the Co-Director for the Consortium for Data Analytics in Risk at UC Berkeley.

Research In the 1980s, Goldberg studied properties of dynamical systems generated by rational maps of the Riemann sphere. In 1993, Goldberg left academia to pursue a career in quantitative finance at Barra (now MSCI), and she has been a proponent of research that combines best practices from industry and the university. Early in the 2000s, in collaboration with Kay Giesecke, she developed a top down methodology based on point processes that is used to assess complex credit derivatives. Beginning in 2006, Goldberg, in collaboration with Guy Miller and Jared Weinstein, developed a patented extension of quantitative risk management tools to extreme events and market turbulence. Goldberg also holds two patents on industry-standard multi-asset class risk models and one patent on incomplete information credit models. During the 2008 financial crisis, Goldberg warned against the risks associated with the reliance on Gaussian models. Risk parity strategies have been claimed by a number of practitioners to deliver investment performance superior to traditional strategies, and have been especially popular since the 2008 financial crisis. In collaboration with Robert M. Anderson (economist) and Stephen Bianchi, Goldberg demonstrated that long-horizon performance of risk parity strategies is qualitatively similar to long-horizon performance of traditional strategies after accounting for realistic financing and trading costs, and that risk parity substantially underperforms traditional strategies in certain time periods. Subsequent research by the same team extends the findings to the more general class of dynamically levered strategies, and it reveals high sensitivity of strategy performance to a previously unidentified source of risk: the co-movement of leverage with return to the underlying portfolio that is levered. They also pointed out that levered strategies involving bonds, including risk parity, are very vulnerable in a rising interest rate environment, the precise environment that many analysts predict for the coming years.

Awards Goldberg received a Sloan Fellowship in 1987 and a Graham and Dodd Scroll Award for Excellence in Research and Financial Writing in 2012 for Financial Analysts Journal.

Personal life Goldberg is married to mathematician Ken Ribet.

Publications

Book Connor, Gregory; Goldberg, Lisa R.; Korajczyk, Robert A. (2010). Portfolio Risk Analysis. Princeton, NJ: Princeton University Press. ISBN 978-0691128283.

Articles Goldberg, Lisa R. (1992). "Fixed Points of Polynomials Part I: Rotation Subsets of the Unit Circle" (PDF). Annales Scientifiques de l'École Normale Supérieure. 25 (6): 679–685. doi:10.24033/asens.1663. Goldberg, Lisa R.; Milnor, John (1993). "Fixed Points of Polynomials Part II: Fixed Point Portraits" (PDF). Annales Scientifiques de l'École Normale Supérieure. 26 (1): 51–98. doi:10.24033/asens.1667. Giesecke, Kay; Goldberg, Lisa R. (Fall 2004). "Forecasting Default in the Face of Uncertainty". The Journal of Derivatives. 12 (1): 11–25. doi:10.3905/jod.2004.434534. S2CID 219242393. Goldberg, Lisa R.; Miller, Guy; Weinstein, Jared (2008). "Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons". Journal of Investment Management. 6 (2): 73–93. Errais, Eymen; Giesecke, Kay; Goldberg, Lisa R. (2010). "Affine Point Processes and Portfolio Credit Risk". SIAM J. Financial Math. 1: 642–665. doi:10.1137/090771272. S2CID 7628863. Giesecke, Kay; Goldberg, Lisa R.; Ding, Xiaowei (2011). "A Top-Down Approach to Multi-Name Credit". Operations Research. 59 (22): 283–300. CiteSeerX 10.1.1.139.6466. doi:10.1287/opre.1100.0855. {{cite journal}}: Cite uses deprecated parameter |citeseerx= (help) Anderson, Robert M.; Bianchi, Stephen W.; Goldberg, Lisa R. (2012). "Will My Risk Parity Strategy Outperform?". Financial Analysts Journal. 68 (6) (November/December ed.): 75–93. doi:10.2469/faj.v68.n6.7.

References

Worked examples

Example 1 — a first encounter with Lisa Goldberg

Start with the simplest possible case. Write down what Lisa Goldberg claims or describes in one sentence, then invent the smallest concrete situation in which that sentence is true. In mathematics, the smallest case is usually a single object, a single equation or a single measurement. Check that every symbol or term in your sentence has a meaning in that case.

Example 2 — changing one variable

Take the situation from Example 1 and change exactly one quantity: double it, halve it, or set it to zero. Predict what should happen to Lisa Goldberg before you calculate. Comparing your prediction with the result is the fastest way to find out whether you understand the idea or only the words.

Example 3 — an exam-style question

Typical questions about Lisa Goldberg ask you to (a) state it precisely, (b) apply it to given data, and (c) explain a limitation. Practise writing all three answers in under five minutes; the third part is what separates a full-mark answer from an average one.

Applications of Lisa Goldberg

In research: Lisa Goldberg appears in mathematics research whenever the underlying quantities have to be modelled precisely. Papers usually cite it as a starting assumption and then explore where it breaks down.
In technology and industry: Engineering practice reuses Lisa Goldberg in design rules, simulations and safety margins. Knowing the idea lets you read a specification sheet and understand why the numbers look the way they do.
In the classroom: Lisa Goldberg is common in secondary-school and first-year university syllabi. It links to neighbouring topics 21st-century American statisticians, American women mathematicians, Brandeis University alumni, so understanding it makes those chapters shorter.
In everyday life: Look for Lisa Goldberg outside the textbook — in sport, cooking, traffic, electronics or the sky above you. An example you found yourself is remembered far longer than one you were given.

Affiliate

Preply — study more efficiently by working with a personal tutor. 50% off.

How to study Lisa Goldberg in 20 minutes

Read the reference excerpt below once, without taking notes.
Close the page and write down what Lisa Goldberg means in your own words.
Compare your version with the excerpt and mark what you missed.
Work through the three examples above with pen and paper.
Explain Lisa Goldberg out loud to somebody else — or to Teacher Smith in the lgStudy chat.

Frequently asked questions

What is Lisa Goldberg in simple terms?

Why does Lisa Goldberg matter?

Because it connects several mathematics ideas at once: it gives you a definition you can apply, a quantity you can calculate, and a way to check whether a result is plausible.

How should I study Lisa Goldberg?

Read the excerpt, restate it from memory, then work through the examples and applications listed on this page. The five-step study plan above takes about twenty minutes.

What does this page cover?

It gives you a compact reference excerpt plus original lgStudy explanations, examples, applications and study material on Lisa Goldberg.