David Hsieh

David Arthur Hsieh (born August 1, 1953, in Hong Kong) is a professor of finance at the Duke University Fuqua School of Business. He has done extensive research on hedge funds and alternative beta, which includes dynamics of asset prices and their implications for financial risk management and risk and return in hedge funds and commodity funds.

David Arthur Hsieh
Born	(1953-08-01) August 1, 1953 (age 72) Hong Kong
Occupation	Professor of Finance
Academic background
Alma mater	Yale University, Massachusetts Institute of Technology
Thesis	Expectations and efficiencies in international markets (1981)
Doctoral advisor	Stanley Fischer

Early life

On August 1, 1953, Hsieh was born in Hong Kong. At 14, Hsieh immigrated from Hong Kong to the White Plains, New York, U.S. In 1972, Hsieh graduated from Phillips Academy, a university-prep school in Andover, Massachusetts cum laude.^[1]

Education

In 1976 Hsieh graduated with a B.S. in Economics and Mathematics from Yale University with Summa Cum Laude.^[1] Hsieh then spent a year working at the Federal Reserve Bank of New York before going to Massachusetts Institute of Technology for graduate school. In 1981, Hsieh earned a Ph.D in Economics from Massachusetts Institute of Technology.^[1]

Career

In 1981, Hsieh's teaching career began as an assistant professor at the University of Chicago Graduate School of Business.^[1]

Hsieh is a professor at the Fuqua School of Business in Duke University in Durham, North Carolina.^[2][1]

Hsieh has authored or co-authored over 50 different papers and one book. Hist first stream of research was on nonlinear dynamics in asset markets. His 1991 article in the Journal of Finance used 5-minute data to calculate the Realized variance of the S&P 500 index for each trading day. His 1993 article in the Journal of Financial and Quantitative Analysis used a GARCH (Generalized Autoregressive conditional heteroskedasticity) model to simulate the probability of large losses in asset markets (later known as Value at risk).

Hsieh's second stream of research has a series of articles on risks in hedge funds, many of them co-authored with Dr William Fung . These articles form the basis of the "Fung-Hsieh" seven factor model for hedge fund returns as discussed in their 2004 article in the Financial Analyst Journal.

Hsieh has been an editor of professional journals such as Management Science, and an associate editor of Economics Letters, Journal of Empirical Finance, and Journal of Business and Economic Statistics . He was a guest speaker at approximately 80 different occasions.

Awards

In 2002 Hsieh was awarded the Bank of America Faculty Award.^[1][3]

Hsieh has received the CFA, Graham and Dodd Award of Excellence for the paper "Hedge Fund Benchmarks: A Risk-Based Approach", co-authored with William Fung and published in the Financial Analysts Journal in 2004; the Fischer Black Memorial Foundation and the 1999 Robert J. Schwartz Memorial Prize for the best paper on hedge funds.; the Smith Breeden First Prize for the best paper in the Journal of Finance for the article "Margin Regulation and Stock Market Volatility" joint with Nobel laureate, Merton Miller; and the Yale Science and Engineering Association High Scholarship Award, a college award for the highest class standing after 7 semesters.

In 2015, Hsieh received the Certified Alternative Investment Analyst Association (CAIA) 2015 Award for Excellence in Alternative Investment Research.