David Brown

Associate Professor at Fuqua School of Business

Professor - Finance. Harold G. and Margaret W. Laun Professor in Finance at Wisconsin School of Business

Schools

Fuqua School of Business
Wisconsin School of Business

Biography

Fuqua School of Business

Academic Area: Decision Sciences

Teaching / Research Interests

Decision Models, optimization, dynamic programming

Bio

David B. Brown is an associate professor at the Fuqua School of Business at Duke University. He has been at Fuqua as a member of the Decision Sciences area since receiving his Ph.D. in Electrical Engineering and Computer Science from MIT in 2006.

Professor Brown’s research focuses on the development of effective methods for dealing with uncertainty in large-scale decision-making problems. This includes systems in which information is revealed sequentially over time and ones in which errors in modeling can be significant (for example, financial systems). He is also interested in modeling risk. His work has been recognized by the Institute for Operations Research and the Management Sciences (INFORMS): in 2005, part of his dissertation work received second prize in the George E. Nicholson Student Paper Competition, and in 2007, his paper with Melvyn Sim (``Satisficing measures for analysis of risky positions’’) received first prize in the INFORMS Junior Faculty Interest Group paper competition.

Professor Brown’s research has appeared in publications such as Management Science and Operations Research. His work is relevant for individuals or firms seeking to systematically understand and manage risk as well as for those aiming to improve decision-making for complex problems affected by uncertainty. Examples of applications of his work are in managing a portfolio over time with market frictions, liquidating assets in the face of financial distress, measuring risk according to benchmarks or target goals, and managing inventory in a dynamically changing environment. He has experience in the asset management and hedge fund industries. His recent teaching includes decision models and optimization.

Wisconsin School of Business

David Brown is the Harold G. and Margaret W. Laun Professor in Finance and Professor in the Department of Finance, Investment and Banking at the Wisconsin School of Business.

Brown’s research focuses on financial market structures, securities regulation, investments and risk management.

He earned his Ph.D. from Stanford University.

Selected Published Journal Articles

Brown, D. (2017). New Characterizations of Increasing Risk. Journal of Mathematical Economics (69), 7-11.
Brown, D. & Ferreira, M. (2016). Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk. Quarterly Journal of Finance (6)
Brown, D. & Wu, Y. (2016). Mutual Fund Flows and Cross-Fund Learning Within Families. Journal of Finance (71), 383–424.
Brown, D. & Jackwerth, J. (2012). The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory. Contemporary Studies in Economics and Financial Analysis: Derivative Securities Pricing and Modelling, J. A. Batten and N. Wagner (eds.)
Brown, D. & Bhushan, R. & Mello, A. (1997). Do Noise Traders Create Their Own 'Space'?. Journal of Financial and Quantitative Analysis (32), 25-45. doi: 10.2307/2331315.
Brown, D. & Zhang, Z. (1997). Market Orders and Market Efficiency. Journal of Finance
Brown, D. & Back, K. (1993). Implied Probabilities in GMM Estimators. Econometrica 61 (61), 971-975.
Brown, D. & Back, K. (1992). GMM, Maximum Likelihood and Nonparametric Efficiency. Economic Letters (39), 23-28. doi: 10.1016/0165-1765(92)90095-G.
Brown, D. (1990). Age Clienteles Induced by Liquidity Constraints. International Economic Review (31), 891-912.
Brown, D. & Jennings, R. (1989). On Technical Analysis. Review of Financial Studies (2), 527-551. doi: 10.1093/rfs/2.4.527.
Brown, D. (1988). The Implications of Nonmarketable Income for Consumption-based Models of Asset Pricing. Journal of Finance (43), 867-880. doi: 10.1111/j.1540-6261.1988.tb02609.x.
Brown, D. (1987). Multiperiod Financial Planning. Management Science (33), 848-875. doi: 10.1287/mnsc.33.7.848.
Brown, D. & Gibbons, M. (1985). A Simple Econometric Approach for Utility-based Asset Pricing Models. Journal of Finance (40), 359–381. doi: 10.1111/j.1540-6261.1985.tb04962.x.
Brown, D. & Huang, C. (1983). Option Pricing in Lognormal Securities Markets with Discrete Trading: A comment. Journal of Financial Economics (12), 285–286. doi: 10.1016/0304-405X(83)90040-5.

Presentations

10th Annual Meeting of the Academy of Behavioral Finance and Economic ( 2017 ) Quarterly Patterns in Momentum and Reversal in the U.S. Stock Market:Price Pressure as the Result of Tax-Loss Sales and Window Dressing

Utah Winter Finance Conference 2012 ( 2012 ) Mutual Fund Families and Performance Evaluation

American Finance Association Meetings 2012 ( 2012 ) Mutual Fund Families and Performance Evaluation

China International Conference in Finance 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Western Finance Association Meetings 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Technology Sydney ( 2011 ) Mutual Fund Families and Performance Evaluation

Financial Intermediation Research Society Meetings 2011 ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Illinois, Chicago ( 2011 ) Mutual Fund Families and Performance Evaluation

Workshop, University of Wisconsin-Madison Department of Finance ( 2010 ) Mutual Fund Families and Performance Evaluation

Workshop - UW Madison Department of Statistics ( 2010 ) Mutual fund families and performance evaluation

Workshop, University of Illinois, Urbana-Champaign ( 2010 ) Mutual Fund Families and Performance Evaluation

( 2009 ) The systematic and non-systematic variation in the systematic risk of stock market returns

( 2005 ) Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk

( 2004 ) Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk

( 2000 ) Stock Market Eras

( 2000 ) stock Market Eras

Stock Market Eras ( 1999 ) ( 1998 ) The Returns on Gold and Gold-Mine Shares

Undergraduate Courses

Intermediate Investment Theory (FIN 520), Spring 2004.

Investment Theory (FIN 320 Section 3), Fall 2008.

Investment Theory (FIN 320 Section 4), Spring 2010.

Investment Theory (FIN 320 Section 3), Fall 2010.

Investment Theory and Practice (FIN/ECO 320 Section 1), Fall 2012. Download Syllabus

Investment Theory and Practice (FIN/ECO 320 Section 2), Fall 2012. Download Syllabus

Investment Theory and Practice (FIN/ECO 320 Section 3), Fall 2012. Download Syllabus

Graduate Courses

Theory of Finance (FIN 920 Section 1), Fall 2008.

Theory of Finance (FIN 920), Spring 2002.

Theory of Finance (FIN 920), Spring 2003.

Theory of Finance (FIN 920), Spring 2004.

Theory of Finance (FIN 920), Spring 2005.

Theory of Finance (FIN 920), Spring 2001.

Theory of Finance (FIN 920), Spring 2006.

Theory of Finance (FIN 920 Section 1), Spring 2010.

Theory of Finance (FIN 920 Section 1), Spring 2007.

Intermediate Investment Theory (FIN 820), Spring 2004.

Intermediate Investment Theory (FIN 820), Spring 2005.

Intermediate Investment Theory (FIN 820), Fall 2005.

Intermediate Investment Theory (FIN 820), Fall 2006.

Readings and Research in Finance (FIN 799), Spring 2009.

Readings and Research in Finance (FIN 799), Fall 2009.

Readings and Research in Finance (FIN 799 Section 1), Summer 2010.

Readings and Research in Finance (FIN 799 Section 1), Fall 2010.

Contemporary Topics (FIN 765 Section 30), Fall 2008.

Investment Theory and Practice (FIN 720), Spring 2002.

Investment Theory and Practice (FIN 720), Spring 2001.

Investment Theory&Practice (FIN 720 Section 1), Spring 2010.

Investment Theory&Practice (FIN 720 Section 1), Fall 2010.

Investment Theory and Practice (FIN 720 Section 30), Spring 2007.

Advanced Statistical Methods I (BUS 706), Fall 2004.

Combined Undergraduate & Graduate Courses

Investments (FIN/ECO 320/320), Fall 2005.

Professional Organizations

Financial Intermediation Research Society

Editorial and Reviewing Activities

Journal of Financial and Quantitative Analysis - December 2017 - December 2017 Ad Hoc Reviewer

Journal of Finance - July 2014 - July 2014 Ad Hoc Reviewer

Review of Financial Studies - March 2013 - March 2013 Ad Hoc Reviewer

Read about executive education

Other experts

Selin Kesebir

Dr Selin Kesebir’s research interests include cooperation, gender, morality and inequality. She teaches Negotiations in her role as Assistant Professor of Organisational Behaviour, of London Business School. Prior to joining the School she was a Post-doctoral Research Associate at UVa’s Darden Sc...

Sara Jahanmir

Specialization domain(s): Innovation, New Product Development, Entrepreneurship, Technology Transfer to Market, Start-ups Biography: Sara Jahanmir (MBA, PhD) is an Assistant Professor of Innovation and Entrepreneurship at NEOMA Business School and a Research Affiliate in Technology Innovatio...

Popular Courses

Private Equity: Investing and Creating Value

The Wharton School

Philadelphia, Pennsylvania, United States

Feb 2, 2025

See all courses