- Chi-fu Huang
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Chi-fu Huang Born January 27, 1955 Residence 
U.S.Nationality 
Chinese (ROC)
AmericanFields Financial economics Institutions Platinum Grove Asset Management 1999-
LTCM 1995-99
Goldman Sachs 1993-94
MIT 1983-93Alma mater Stanford University (Ph.D. 1983)
National Taiwan University (B.A. 1977)Known for Fixed income relative value investment management; dynamic general equilibrium theory under uncertainty; Optimal consumption and portfolio decisions under uncertainty in continuous time. Chi-fu Huang (黄奇辅)(born January 27, 1955) is a founder and the Non-Executive Chairman of Platinum Grove Asset Management L.P. (PGAM), formerly known as Oak Hill Platinum Partners, LLC, an investment management company based in Rye Brook, New York.
Dr. Huang was the Chief Executive Officer and Chief Investment Officer of PGAM from 1999 to 2009. Before founding PGAM, Dr. Huang was with Long Term Capital Management L.P. from 1995 to 1999 and was a Principal and Co-Head of its Asia office in Tokyo from 1997 to 1999. Prior to that he was Head of Fixed Income Derivatives Research at Goldman, Sachs & Co. in New York from 1993 to 1994.
Dr. 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 and was on the faculty of the MIT Sloan School of Management from 1983 to 1994. He was a full professor and held the J.C. Penney Professorship in finance when he left MIT in the summer of 1994.
He was an editor of Review of Financial Studies and an associate editor of The Journal of Economic Theory, Journal of Financial and Quantitative Analysis, Mathematical Finance, and The Journal of Mathematical Economics. He is the author of more than thirty articles and is co-author, with Robert H. Litzenberger, of Foundations for Financial Economics, a textbook for graduate students in financial markets.
Dr. Huang has made major contributions to the theory of financial economics, and has written on dynamic general equilibrium theory, intertemporal utility theory, and the theory of individual consumption and portfolio decisions.
His most extensive work has been in dynamic general equilibrium theory. Here 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 of the inherent dynamic optimization problems in this area had proved to be 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. [1]
References
Categories:- 1955 births
- Living people
- American people of Chinese descent
- MIT Sloan School of Management faculty
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