José Scheinkman
Encyclopedia
José Alexandre Scheinkman (born January 11, 1948) is a Brazilian-American mathematical economist, currently the Theodore A Wells '29 Professor of Economics at Princeton University
. He spent the bulk of his career at the University of Chicago
, where he served as department chair immediately prior to his departure for Princeton. Prior to immigrating to the United States to study for his PhD in Economics at the University of Rochester, he grew up and was educated in Rio de Janeiro, Brazil. While his research interests have spanned a wide range of topics, he is best known for his work in mathematical economics (particularly dynamic optimization) and finance, oligopoly theory and the social economics of cities and crime; he also help spur the development of work at the intersection of economics, finance and physics. Ironically given his early leftism (including teaching one of the few courses on Marxist economics ever offered at the University of Chicago economics department), Scheinkman also famously pioneered the now-ubiquitous application of academic financial theory to practical risk management of fixed incomes during a leave he took as Vice President in the Financial Strategies Group at Goldman, Sachs & Co. during the late 1980s. Since coming to Princeton, Scheinkman's research has focused increasingly on finance (both applied, in his work on bubbles, and mathematical, in his work with Lars Hansen
) as a leader of Princeton's world-beating finance group. He continues his involvement in practical finance as a founder and partner of Axiom Investments, a successful hedge fund. as well as in the public affairs of Brazil through writing and consulting. He is also well known as the thesis adviser of prominent economists including Paul Romer
, Albert (Pete) Kyle, Edward Glaeser
, Tano Santos, Alberto Bisin and Glen Weyl. He is a member of the United States National Academy of Sciences
and a Fellow of the Econometric Society
and the American Academy of Arts and Sciences
. He is married to the New York psychotherpist Michele Scheinkman and is the father of Andrei Scheinkman.
's small Jewish community. As leftists, his parents were dissidents during the military government in Brazil from 1964-85. Scheinkman studied for his BA in economics (1969) and MA in Mathematics (1970) at the Universidade Federal do Rio de Janeiro
and the Instituto de Mathematica Pura e Aplicada, also in Rio. During his studies he met his future wife, Michele Zitrin, at an annual summer retreat taken by many Jews in Rio. Together and married at the age of 22, they moved to New York so that he could study for his PhD under Lionel McKenzie and Buzz Brock at the University of Rochester. Two years ino his PhD, eventually granted in 1974, Scheinkman was hired as an assistant professor in the Department of Economics at the University of Chicago, where he spent the next 26 years, with the support of Brock who had moved there.
(among others), for "Growth in Cities" (1992), crime (1996) and "Measuring Trust" (2000). Perhaps one of the best loved of Scheinkman's papers is his work with Kevin Murphy and Sherwin Rosen on "Cattle Cycles" (1994), which provides one of the sharpest applications of natural economic theory to explain cyclical variations.
Since joining the faculty at Princeton, Scheinkman's research has increasingly turned to finance, pursuing two distinct but related trajectories. In a series of joint papers with Lars Hansen and other co-authors he has developed new tools for solving and testing continuous time models of financial time series. Simultaneously, he has studied the causes of behavioral and agency frictions in financial markets and, especially, their consequence for financial bubbles. His most prominent paper in the second category is his joint work with Wei Xiong, "Overconfidence and Speculative Bubbles" (2003) making more realistic and quantitative the insight of Harrison and Kreps (1978) that when short selling is costly the most optimistic individuals price the market and thus a bubble can be created by disagreements between market participant generating an option value to sell to a greater fool.
Princeton University
Princeton University is a private research university located in Princeton, New Jersey, United States. The school is one of the eight universities of the Ivy League, and is one of the nine Colonial Colleges founded before the American Revolution....
. He spent the bulk of his career at the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
, where he served as department chair immediately prior to his departure for Princeton. Prior to immigrating to the United States to study for his PhD in Economics at the University of Rochester, he grew up and was educated in Rio de Janeiro, Brazil. While his research interests have spanned a wide range of topics, he is best known for his work in mathematical economics (particularly dynamic optimization) and finance, oligopoly theory and the social economics of cities and crime; he also help spur the development of work at the intersection of economics, finance and physics. Ironically given his early leftism (including teaching one of the few courses on Marxist economics ever offered at the University of Chicago economics department), Scheinkman also famously pioneered the now-ubiquitous application of academic financial theory to practical risk management of fixed incomes during a leave he took as Vice President in the Financial Strategies Group at Goldman, Sachs & Co. during the late 1980s. Since coming to Princeton, Scheinkman's research has focused increasingly on finance (both applied, in his work on bubbles, and mathematical, in his work with Lars Hansen
Lars Hansen
Lars Erik Hansen is a retired Danish-Canadian professional National Basketball Association player....
) as a leader of Princeton's world-beating finance group. He continues his involvement in practical finance as a founder and partner of Axiom Investments, a successful hedge fund. as well as in the public affairs of Brazil through writing and consulting. He is also well known as the thesis adviser of prominent economists including Paul Romer
Paul Romer
Paul Michael Romer is an American economist, entrepreneur, and activist. He is currently the Henry Kaufman Visiting Professor at New York University Stern School of Business and will be joining NYU as a full time professor beginning in 2011...
, Albert (Pete) Kyle, Edward Glaeser
Edward Glaeser
Edward Ludwig "Ed" Glaeser is an economist at Harvard University. He was educated at The Collegiate School in New York City before obtaining his B.A. in economics from Princeton University and his Ph.D. in economics from the University of Chicago...
, Tano Santos, Alberto Bisin and Glen Weyl. He is a member of the United States National Academy of Sciences
United States National Academy of Sciences
The National Academy of Sciences is a corporation in the United States whose members serve pro bono as "advisers to the nation on science, engineering, and medicine." As a national academy, new members of the organization are elected annually by current members, based on their distinguished and...
and a Fellow of the Econometric Society
Econometric Society
The Econometric Society is an international society for the advancement of economic theory in its relation with statistics and mathematics. It was founded on December 29, 1930 at the Stalton Hotel in Cleveland, Ohio....
and the American Academy of Arts and Sciences
American Academy of Arts and Sciences
The American Academy of Arts and Sciences is an independent policy research center that conducts multidisciplinary studies of complex and emerging problems. The Academy’s elected members are leaders in the academic disciplines, the arts, business, and public affairs.James Bowdoin, John Adams, and...
. He is married to the New York psychotherpist Michele Scheinkman and is the father of Andrei Scheinkman.
Early life
Scheinkman's parents, Samuel and Sara, were members of Rio de JaneiroRio de Janeiro
Rio de Janeiro , commonly referred to simply as Rio, is the capital city of the State of Rio de Janeiro, the second largest city of Brazil, and the third largest metropolitan area and agglomeration in South America, boasting approximately 6.3 million people within the city proper, making it the 6th...
's small Jewish community. As leftists, his parents were dissidents during the military government in Brazil from 1964-85. Scheinkman studied for his BA in economics (1969) and MA in Mathematics (1970) at the Universidade Federal do Rio de Janeiro
Universidade Federal do Rio de Janeiro
The Federal University of Rio de Janeiro is one of the largest federal universities of Brazil, where public universities comprise the majority of the best and most qualified institutions...
and the Instituto de Mathematica Pura e Aplicada, also in Rio. During his studies he met his future wife, Michele Zitrin, at an annual summer retreat taken by many Jews in Rio. Together and married at the age of 22, they moved to New York so that he could study for his PhD under Lionel McKenzie and Buzz Brock at the University of Rochester. Two years ino his PhD, eventually granted in 1974, Scheinkman was hired as an assistant professor in the Department of Economics at the University of Chicago, where he spent the next 26 years, with the support of Brock who had moved there.
Career at Chicago
After only three years, Scheinkman was promoted to tenure as an associate professor in 1978 and eventually as a full professor in 1981. While at Chicago, Scheinkman helped build the foundation of mathematical economics at at department often better known for economic intuition than rigorous theory. Scheinkman also participated actively in the interface between economics and physics organized by the Santa Fe Institute and often traveled to visiting positions in France, a country for which he has had a lifetime affection. He served as chair of the Department of Economics from 1995-1998. Following his chairmanship, Scheinkman moved to New York City, and Princeton University, in 1999.Research
Scheinkman is perhaps most closely associated with his classic six page paper from 1979 with L. M. Benveniste "On the Differentiability of the Value Function in Dynamic Models of Economics", which provides conditions on model primitives allowing for the standard differentiable treatment of infinite-horizon dynamic models. At least as influential, however, is his very different work with David Kreps in 1983 showing that "Quantity precommitment and Bertrand competition yield Cournot outcomes" and thus providing the canonical modern foundation of Cournot equilibrium as the result of capacity pre-commitments. Building on his interest in the intersection between economics and physics, he helped draw out and test some of the most salient implication of the theory of social interactions, in a series of papers with his star student Edward GlaeserEdward Glaeser
Edward Ludwig "Ed" Glaeser is an economist at Harvard University. He was educated at The Collegiate School in New York City before obtaining his B.A. in economics from Princeton University and his Ph.D. in economics from the University of Chicago...
(among others), for "Growth in Cities" (1992), crime (1996) and "Measuring Trust" (2000). Perhaps one of the best loved of Scheinkman's papers is his work with Kevin Murphy and Sherwin Rosen on "Cattle Cycles" (1994), which provides one of the sharpest applications of natural economic theory to explain cyclical variations.
Since joining the faculty at Princeton, Scheinkman's research has increasingly turned to finance, pursuing two distinct but related trajectories. In a series of joint papers with Lars Hansen and other co-authors he has developed new tools for solving and testing continuous time models of financial time series. Simultaneously, he has studied the causes of behavioral and agency frictions in financial markets and, especially, their consequence for financial bubbles. His most prominent paper in the second category is his joint work with Wei Xiong, "Overconfidence and Speculative Bubbles" (2003) making more realistic and quantitative the insight of Harrison and Kreps (1978) that when short selling is costly the most optimistic individuals price the market and thus a bubble can be created by disagreements between market participant generating an option value to sell to a greater fool.