Rob Grauer

  • Professor Emeritus, Finance
  • Retired Faculty, Finance
  • B.Com., M.B.A. (British Columbia), Ph.D. (California, Berkeley)

    Burnaby Room: WMC 3337
    Burnaby Phone: 778.782.3722

    Email Address:

    Curriculum Vitae: View


    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.

    Best, M. J., & Grauer, R. (2016). Humans, econs and portfolio choice. Quarterly Journal of Finance, 7(2), 1750001.

    Best, M. J., Grauer, R., Hlouskova, J., & Xhang, X. (2014). Loss-aversion with kinked linear utility functions. Computational Economics, 44, 45-65.

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

    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.

    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.

    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.

    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.

    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. (1985). Capital asset pricing compatible with observed market value weights. Journal of Finance, 40(March), 85-103.

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