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Faculty and Research - Agrrawal

Pankaj Agrrawal, Ph.D. (Finance)
Associate Professor

(207) 581-1983

pankaj.agrrawal /replace with @/

@2:20 on this 2013 UMaine channel video

Look me up on LinkedInFacebook or Twitter  

 ~ where scientists hang out ~

My quant website

305 DPC Business Building
University of Maine
Orono, ME 04469

Teaching Areas:

Prof. Agrrawal joined UMaine in 2005 with over eight years of executive experience in quantitative research and portfolio management in the investment management industry, earlier he was portfolio manager and director of research at leading global asset management firms based in San Francisco, Boston, London, Philadelphia. Over that period he also designed and taught doctoral/graduate finance courses at Golden Gate (San Francisco), Harvard and Drexel University, in their evening programs. He has more than twenty five papers at refereed conferences and has published 14 papers (peer-reviewed), including one in the Financial Analysts Journal as well as two in the Journal of Behavioral Finance and the Journal of Investing. He has been quoted by the Wall Street Journal in the July 9, 2011 print and online edition for his research on an algorithmic mis-specification afflicting most web charts. In 2012, he developed and released the ReturnFinder App  via Apple’s App store, it rectifies the performance ranking problem and provides Total Return charts on over 20,000 stocks, ETFs and indexes globally. The App has been downloaded in over 25 countries. His research has been referenced in German, Swiss and Taiwanese Journals and on the Frankfurt-DAX stock exchange website. His biographical profile is included in Marquis Who’s Who in Finance and Industry, also in 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance). He is an active reviewer of many peer reviewed journals including the European Journal of Finance.

In 2013, he was listed on Yahoo! Finance in an article by on “17 ETF Friendly Professors”,  and referenced in this University press release.  Among those also on the list are Nobel Prize winner William Sharpe of Stanford University, Yale University’s Robert Shiller, Andrew Lo of the Massachusetts Institute of Technology, Jeremy Siegel of the Wharton School, and finance faculty from Northwestern, NYU, Boston University, University of Notre Dame, Lehigh and other leading universities.

He values mentoring his undergraduate and graduate students and strives to inspire them with the workings of the capital markets and its computational aspects (page 20 of this issue). A faculty spotlight on Prof. Agrrawal can also be seen on page 12 of this MBS Connects link. He enjoys tennis, cricket, fitness, photography and being with his family.



Ph.D. (Finance), University of Alabama (1996), MA (Finance), BA Economics (Hons.) -SRCC, University of Delhi.

Research interests

A central theme of his research is developing multi-constraint optimized long-short market-neutral hedged portfolios using ETF’s as primary assets and harvesting financial information on the web. Other research interests include the role of cognitive biases and heuristics in the decision making process as applied to the capital markets, stable covariance and correlation matrices on ETFs and devising alpha-return techniques that utilize portfolio risk exposures to drive returns.  Portfolio Optimization, Risk Management, Beta Neutral Hedging, Sentiment Estimation, Timeseries analysis, Liquidity modeling and Risk Parity portfolio strategies are some of his other active interests. Some of this research can be seen on his website at and at the site.

Based on his research, he has been tracking since 2004 a multi-asset class ETF portfolio (long-short and long only) that he discusses with his undergrad and MBA students – it continues to outperform the broad market equity and bond indices on both the dimensions in the risk-return space. A proponent of MAC investing using the 1/n approach, he uses the MV optimization approach to identify optimal allocations (JII 2013 paper).

Selected publications:

* Lead author / PI

Field Specific Productivity—————————————————————————–

Research Interests————————————————————————————–

Financial modeling and forecasting using simulation and numeric analysis, utilization of non-beta alternate risk proxies as filters in portfolio formation, asset-pricing models, portfolio optimization procedures, estimation of ex ante security returns, application of neural networks. Behavioral finance, investor sentiment and decision making with incomplete information sets. ETF based optimal portfolio construction.  Algorithms for web-harvesting of financial information and creating machine-readable datasets. Dispersion of ETF betas on the web, interval/frequency effect on betas and determining ETF liquidity measures. Multi-asset class diversification. Risk Parity investing and modeling. Human fallout of financial crisis. Adept at CRSP, COMPUSTAT,WRDS data extraction, compiling and coding, computational finance.

  Finance Journals: relevance  (H-Index), rankings (field ratings), Eigenfactors, Norwegian journal rankings site and the Harzing journal quality lists
Look me up on LinkedInFacebook or Twitter  
  Download Free Finance content developed by me (ETF Correlation matrices, Monte Carlo Bootstrapping
program, ETF Liquidity rankings, CAPM Betas, Demo Total Return charting App, Bid-Ask Spreads on ETFs)

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Contact Information

Maine Business School
5723 D.P.Corbett Business Building
Orono, ME 04469
Phone: (207) 581-1968 | Fax: 207-581-1930E-mail:
The University of Maine
Orono, Maine 04469
A Member of the University of Maine System