Rob Grauer

Professor Emeritus, Finance

Retired Faculty, Finance

Burnaby

Room: WMC 3337

Phone: 778.782.3722

Email: grauer@sfu.ca

Curriculum Vitae: View

Credentials

B.Com., M.B.A. (British Columbia), Ph.D. (California, Berkeley)

Biography

Professor Robert Grauer teaches investments, asset pricing, and corporate finance. His research interests include asset allocation, portfolio selection, asset pricing, performance measurement, and efficient markets. His publications have appeared in leading academic and practitioners journals in finance, economics, and management science.

Research Interests

Asset allocation, portfolio theory, market efficiency, capital asset pricing.

Selected Publications

articles and reports

Best, M. J., & Grauer, R. (2016). Prospect theory and portfolio selection. Journal of Behavioral and Experimental Finance, 11, 13-17. http://doi.org/10.1016/j.jbef.2016.05.002

Best, M. J., & Grauer, R. (2016). Humans, econs and portfolio choice. Quarterly Journal of Finance, 7(2), 1750001. http://doi.org/10.1142/S201013921750001X

Best, M. J., Grauer, R., Hlouskova, J., & Xhang, X. (2014). Loss-aversion with kinked linear utility functions. Computational Economics, 44, 45-65. http://doi.org/10.1007/s10614-013-9391-x

Grauer, R. (2013). Limiting losses may be injurious to your wealth. Journal of Banking & Finance, 37(12), 5088–5100. http://doi.org/10.1016/j.jbankfin.2013.07.047

Grauer, R., & Janmaat, J. A. (2010). Cross-sectional tests of the CAPM and Fama-French three-factor model. Journal of Banking & Finance, 34(2), 457-470. http://doi.org/10.1016/j.jbankfin.2009.08.011

Grauer, R., & Janmaat, J. A. (2009). On the power of cross-sectional and multivariate tests of the CAPM. Journal of Banking & Finance, 33(5), 775-787. http://doi.org/10.1016/j.jbankfin.2008.09.016

Grauer, R. (2008). On the predictability of stock market returns: Evidence from industry rotation strategies. Journal of Business and Management, 14(2), 149-173.

Grauer, R. (2008). Benchmarking performance measures with perfect-foresight and bankrupt asset-allocation strategies. Journal of Portfolio Management, 34(4), 43-57. http://doi.org/10.3905/jpm.2008.709979

Best, M. J., & Grauer, R. (1992). Positively weighted minimum-variance portfolios and the structure of asset expected returns. Journal of Financial & Quantitative Analysis, 27(4), 513-547. http://doi.org/10.2307/2331138

Best, M. J., & Grauer, R. (1991). On the sensitivity of mean-variance-efficient portfolios to changes in asset means: some analytical and computational results. Review of Financial Studies, 4(2), 315-342. http://doi.org/10.1093/rfs/4.2.315

Best, M. J., & Grauer, R. (1985). Capital asset pricing compatible with observed market value weights. Journal of Finance, 40(March), 85-103. http://doi.org/10.1111/j.1540-6261.1985.tb04938.x