• About

    Brief Professional Bio

    I am a member of the full-time faculty in Graduate Business at the St. Mary’s College of California, and teach occasionally for various  departments at the University of California, Berkeley. My industry experience includes time with the Global Transfer Pricing Group at Deloitte Tax as well as with Headstrong (formerly James Martin and Co.).

    I have taught economics, finance and mathematics for over a decade. My research has been published in several journals, and has been presented at several conferences around the U.S., Europe and Asia. My first book — Optimal Operating Strategies Under Stochastic Cash Flows — was published in 2011.

    I received my doctorate in Quantitative Finance from Rutgers University in 2007, where my adviser was the late, great mathematician Larry Shepp. Here’s my math genealogy. For those who know what it means, Larry’s Erdös number was 1 (source). Since I have published a paper with Larry, that makes my own Erdös number 2. (What is an Erdös number?)

    I also have an MBA in Finance, and a Masters in Behavioral Economics, also from Rutgers.


    Research Interests

    My doctoral dissertation was about examining the optimality of risk-taking under various circumstances, and that is still a current research interest.

    Since then, I have worked on several projects, including a portfolio optimization model that accounts for tail risk (the risk of extreme events occurring); a model for optimal executive compensation in the presence of management misbehavior; and a few more.

    I am currently working on:

    • a model for trading foreign exchange based on a widely used FX benchmark, the WM/R Fix (with Keisuke Teeple);
    • the behavior of the Fama-French factors during business cycles (with Tee Lim); and
    • harvesting the collective intelligence of active market managers to create a new system of categorizing funds (with Tom Howard).



    Outside of my work, I have made four expeditions to the Himalayas, run three marathons and have swum from Alcatraz to San Francisco. I am now working towards my Private Pilot License.



    email:       aas3 AT stmarys-ca DOT edu
    twitter:     @arnavsheth
    linkedin:   in:arnavsheth