Arnav Sheth

Arnav Sheth

Overview

Department: 
School of Economics and Business Administration » Finance
SMC Email Address: 
Contact Information: 

Office
Rheem Center

Contact:
Email: aas3@stmarys-ca.edu

Education

  • Ph.D. Quantitative Finance, Rutgers Business School, 2007
  • M.B.A. Finance, Rutgers Business School, 2007
  • M.A. Behavioral Economics, Rutgers University, 2004
  • B.A. Mathematics-Economics (joint), Philosophy, Lawrence University, 2000

Professional Licenses & Certifications:

  • CFA Level 2 Candidate - CFA Institute

Professional Experience

Teaching Experience:

  • Associate Professor - Saint Mary's College of California (2014 - Present)
  • Visiting Assistant Professor - Haas School of Business (2010 - 2010)
  • Assistant Professor - Saint Mary's College of California (2009 - 2014)
    Finance, Graduate Business Programs
  • Lecturer for Economics - University of California, Berkeley (2008 - 2009)
  • Lecturer - Rutgers University (2000 - 2006)

Professional Experience:

  • Program Director for the MS in Financial Analysis and Investment Management (FAIM) - Saint Mary's College of California (2014 - Present)
  • Associate (part-time) - StatAssist.com (2008 - 2008)
  • Economist (Senior Consultant) - Deloitte Tax LLP (2008 - 2009)

Service

Service:

  • Referee Service
    (2011)
    Academy of Business Journal
  • Referee Service
    (2009)
    Proceedings for the SIAM Conference in Mathematics for Industry: Challenges & Frontiers

Presentations

Conference Presentations

  • Leveraging Herd Behavior in Foreign Exchange Markets. International Conference on Operations Research (ICOR). Havana, Cuba. March 2016. 
  • Power-Log Portfolio Optimization for Maximizing Portfolio Growth and Controlling Tail Risk. INFORMS Minneapolis, MN. October 2013. 
  • The Carrot: Rewarding Bad Managers. Western Economic Association (WEA). San Francisco, CA. June 2012. 
  • Risk-Taking, Financial Distress and Innovation. Sheth, Arnav, Shepp, L and Palmon, O. Proceedings of the World Congress on Engineering. July 2011.
  • The Carrot: Rewarding Bad Managers and Innovation. Sheth, Arnav
    Tenth International Conference on Operations and Quantitative Management. July 2011.
  • Risk-taking, financial distress and innovation. Sheth, Arnav, Shepp, L and Palmon, O. Academy of Business Research. March 2011.
  • Gambling when broke: A model for Optimal Managerial Behavior under Financial Distress. Sheth, A. SIAM Financial Mathematics and Engineering. November 2010.

Invited Talks

  • The carrot: Rewarding bad managers and innovation. Sheth, A.
    Institute for Operations Research and Management Science. November 2011.
  • Capturing the chaos: Measuring market Volatility. Sheth, A. Pillai Institute of Management Studies and Research. June 2011.

Publications

  • Sheth, Arnav. 2016. The Carrot: Executive Compensation, Risk-Taking and Innovation, Advances in Quantitative Analysis of Finance and Accounting (forthcoming)
  • Kale, Jiv and Sheth, Arnav. 2016. Power-Log Optimization and Positively Skewed Option Returns Raise Portfolio Performance and Reduce Risk, Journal of Investing 25(3):29-37
  • Kale, Jiv and Sheth, Arnav. 2015. Power-Log Portfolio Optimization for Managing Downside Risk. International Review of Business Research Papers 12(1).
  • Kale, Jiv and Sheth, Arnav. 2015. Downside Loss Aversion and Portfolio Growth. Journal of Finance and Bank Management 3(1):37-46.
  • Kale, Jiv and Sheth, Arnav. 2014. Power-Log Portfolio Optimization for Maximizing Portfolio Growth and Controlling Tail Risk, Working Paper
  • Duncan, Adam and Sheth, Arnav. 2014. Are Markets Efficient? The Story of the WM Fix and Foreign Exchange Markets, Working Paper
  • Lam, Nancy and Sheth, Arnav. 2014. Too Much of a Good Thing: The Tipping Point of Employee Voice, Working Paper
  • Sheth, Arnav. 2012. Hiring, Firing and Infighting: A Tale of Two Companies. Computational Economics 40(2): 131-149
  • Sheth, Arnav, Shepp, L and Palmon, O. 2011. Risk-taking, Financial Distress, and Innovation. Academy of Business Journal: Special Issue on the Global Debt Crisis 1:5-18
  • Sheth, Arnav. 2011. Optimal Operating Strategies Under Stochastic Cash Flows, Lambert Academic Publishing GmbH & Co
  • Sopher, Barry and Sheth, Arnav. 2006. A Deeper Look at Hyperbolic Discounting, Theory and Decision 60:219-255

Active Research Projects

Some of my current projects: 

  • The behavior of Fama French factors across different economic stages
  • Creating alpha by leveraging herd behavior in the foreign exchange markets
  • Building a new paradigm for categorizing equities across different active management trading styles.

 

Interests

Scholarly Interests: 

I would say that my primary job is to find patterns and creating meaning out of data. My research interests are at the intersection of mathematics and behavioral finance.