Search Results

Looking for an SFU resource?

Some of our resources live on the main SFU website. Please follow the link below to search on

Simon Fraser University Logo




Graduate Programs

Undergraduate Programs


Rob Grauer

Professor Emeritus, Finance

Retired Faculty, Finance


Room: WMC 3337

Phone: 778.782.3722


Curriculum Vitae: View


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


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. R. (2017). Humans, Econs and Portfolio Choice. Quarterly Journal of Finance, 7(2).

Best, M. J., & Grauer, R. R. (2016). Prospect theory and portfolio selection. Journal of Behavioral and Experimental Finance, 11, 13-17.

Best, M. J., Grauer, R. R., Hlouskova, J., & Zhang, X. (2014). Loss-Aversion with Kinked Linear Utility Functions. Computational Economics, 44(1), 45-65.

Grauer, R. R. (2013). Limiting losses may be injurious to your wealth. Journal of Banking and Finance, 37(12), 5088-5100.

Grauer, R. R., & Janmaat, J. A. (2010). Cross-sectional tests of the CAPM and Fama-French three-factor model. Journal of Banking and Finance, 34(2), 457-470.

Grauer, R. R., & Janmaat, J. A. (2009). On the power of cross-sectional and multivariate tests of the CAPM. Journal of Banking and Finance, 33(5), 775-787.

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. R. (2008). Benchmarking measures of investment performance with perfect-foresight and bankrupt asset allocation strategies. Journal of Portfolio Management, 34(4).

Grauer, R. R. (1992). Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns. Journal of Financial and Quantitative Analysis, 27(4), 513-537.

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.

BEST, M. J., & GRAUER, R. R. (1985). Capital Asset Pricing Compatible with Observed Market Value Weights. The Journal of Finance, 40(1), 85-103.