Pankaj Agrrawal, Ph.D.

Pankaj Agrrawal, Ph.D., joined the University of Maine Business School in 2005, with nine years of executive experience in quantitative research and portfolio management. Previously he was portfolio manager and director of research at global asset management firms based in San Francisco, Boston, London, and Philadelphia. Over that time he also designed and taught doctoral/graduate finance courses at Golden Gate University (DBA 821, Financial Theory), Harvard Extn. (Finance CSS 318), and Drexel University (Executive MBA). He also completed the “Investment Decisions and Behavioral Finance” executive education certificate course at the JFK School at Harvard University in 2001, and attributes that exposure to his interest in Investor Sentiment theory.

Dr. Agrrawal has published peer-reviewed papers in the Financial Analysts Journal, Journal of Behavioral Finance, Mathematics, Managerial Finance, JFP,泭 JRFM, PLoS One, 泭Journal of Investing, among others. He was quoted by the on July 9, 2011 for his research on an algorithmic misspecification afflicting most web charts, in 2024 that was included in . His research on the inclusion of real estate ETFs in a multi-asset portfolio was featured in the on January 11, 2019. In 2012, he developed and released the泭 泭via Apples App store. The app, which has been downloaded in 35 countries, rectifies the performance ranking problem and provides Total Return charts on over 20,000 stocks, ETFs, and indexes globally, his students have free usage of the app.

His research has been cited in , , Journal of , Physica A, , Financial Analysts Journal, among others. His research has also been referenced on the Frankfurt-DAX stock exchange website, and his biography included in the Marquis Who’s Who in Finance and Industry (1999). In 2006 he was elected to the membership of the CQA (Chicago Quantitative Alliance). He is an active reviewer for peer-reviewed journals including the

In 2013, he was listed on Yahoo! Finance in an article by ETFdb.com on 泭 and referenced in this University of Maine press release.泭 91腦瞳 press release on his PLoS One paper (2017) linking market sentiment to human sentiment and subsequent suicides can be seen here.

Dr. Agrrawal values mentoring his undergraduate and graduate students and strives to inspire them with the workings of the capital markets and its computational aspects. He enjoys tennis, cricket, fitness, photography, volunteering () and being with his family in .

Education

  • Ph.D., Finance, University of Alabama, 1996
  • M.A., Finance, University of Alabama
  • B.A., Economics, Honors, University of Delhi

Teaching Areas

  • Investments
  • Portfolio Management
  • Corporate Finance
  • Financial Markets
  • Empirical Topics in Finance
  • Behavioral Finance
  • Computational Finance
  • (past samples only)
  • (try in Beta mode, Spring 2024)
  • ( Production Team includes: Dean Jason Harkins and Matt Curtis)
  • Awarded Certification for Teaching with AI. (Harvard Business Impact), Harvard Business School, Boston, August 2025

Research Interests

A central theme of Dr. Agrrawal’s research is developing multi-constraint optimized long-short market-neutral hedged portfolios using ETFs 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, Time series analysis, Liquidity modeling, Cointegration vectors, and Risk Parity portfolio strategies are some of his other active interests. Some of this research can be seen on his website at .

Since 2004, he has been tracking 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. It was included as a research chapter in the book The Most Important Concepts in Finance . A proponent of Multi-asset investing using the 1/n approach, he uses the MV optimization approach to identify optimal allocations. In 2024 he began work in AI chatbot development and integration into his classes. He also works with Python to develop ML dataframes for financial analysis. . Developed two webApps for Finance:

  • 3D Returns App:泭 泭https://returns-visualization.replit.app/.泭
  • Total Returns, Dividends and AI Sentiment App: https://total-returns-dividends-market-sentiment.replit.app/

Publications

Digital assets (cryptocurrencies): Part of a Multi-asset Portfolio, Agrrawal, Pankaj; Doug Waggle. Chapter in Risk and Return Differences Among Asset Classes,, ed. Greg Filbeck, PhD and Hunter Hozhauer, PhD, published by Elgar Publishing, UK, ISBN: , November 2025.

“Guaranteed Income and Optimal Retirement Glide Paths.” Waggle, Doug* and Agrrawal, Pankaj.泭 Journal of Financial Planning, Vol 37 (6), pp. 74-94. 2024 []

“A Longer-Term Evaluation of Information Releases by Influential Market Agents and the Semi-strong Market Efficiency.” Agrrawal, Pankaj* and Agrawal, Rajat. 泭( in print – Taylor and Francis) doi.org/10.1080/15427560.2023.2227303. [Metrics [ A]

“The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties.” Agrrawal, Pankaj. 11(9): 2198.泭 2023. 泭 [ ]

“Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes: Is There an Optimum?” Agrrawal, Pankaj*, Faye W. Gilbert, and Jason Harkins. Vol. 15, 11: 520.泭 2022. 泭[]

“Internships as Clinical Rotations in Business: Enhancing Access and Options.” Gilbert, Faye W.*; Harkins, Jason; Agrrawal, Pankaj; and Ashley, Taylor. Vol. 162: No. 1, Article 7, 2021.

泭 Is the Sell in May and Go Away Adage the Result of an Election-year Effect? Doug Waggle* and Agrrawal, Pankaj, ,泭Vol. 44, Fall 2018. []

Multi Asset Investing: Beyond the 60-40 Ball Park, Agrrawal, Pankaj,* in泭泭Gup, Benton (ed.), Edward Elgar Publishing, Cheltenham, UK, ISBN:泭, Nov/Dec 2017. [Book]

Suicides as a response to adverse market sentiment (1980-2016).泭泭Agrrawal Pankaj,* Waggle D., Sandweiss D. H.,泭泭 12 (11), 2017. OA. [] []

Seasonality in Stock and Bond ETFs (2001-2014): The Months are Getting Mixed Up but Santa Delivers on Time. Agrrawal, Pankaj* and Matthew Skaves,泭泭Vol. 24 (3), Fall 2015.

Investor Sentiment and Short-Term Returns for Size-Adjusted Value and Growth Portfolios, Doug Waggle* and Agrrawal, P.,泭,泭Vol. 16, Issue 1, 2015. [ABDC泭 A]

An Inter-temporal Study of ETF Liquidity and Underlying Factor Transition (2009-2014), Agrrawal P*., Clark J., Agarwal R. and Kale J.,泭,泭Vol. 9, No. 3, 2014. []

Using Index ETFs for Multi-Asset Class Investing: Shifting the Efficient Frontier Up,泭 Agrrawal, Pankaj,*泭,泭Vol. 4(2), Fall 2013. []

“Negative Social Outcomes of the Global Financial Crisis,” Pankaj Agrrawal and Doug Waggle, , 3-55, 2013. ISBN: 9789948146896, ISSN: 1682-1238. https://library.ecssr.ae/cgi-bin/koha/opac-detail.pl?biblionumber=109628 [Lecture Series Booklet #106]

泭What is Wrong with this Picture? A Problem with Comparative Return Plots on Finance Websites and a Bias against Income Generating Assets, Pankaj Agrrawal * and Richard Borgman,, Vol. 11(4), Winter 2010. [ABDC泭 A]

“Using the Price-to-Earnings Harmonic Mean to Improve Firm Valuation Estimates” Pankaj Agrrawal, Richard Borgman*, John Clark, and Robert Strong, 泭, Vol. 37, Fall/Winter 2010.

The Dispersion of ETF Betas on Financial Websites, Agrrawal, P.* and Doug Waggle, , Vol. 19(1): pp. 13-24, Spring 2010.

Determinants of ETF Liquidity in the Secondary Market: A Five Factor Ranking Algorithm, Agrrawal, P.* and John M. Clark, , ETF and Indexing, Vol. 43 (7), pp. 59-66, Fall 2009.

An Automation Algorithm for Harvesting Capital Market Information from the Web, Pankaj Agrrawal, nce, 35(5): pp. 427-438, Spring 2009.

ETF Betas: A Study of their Estimation Sensitivity to Varying Time Intervals, Agrrawal, P.* and John M. Clark, , ETF and Indexing, Vol. 41 (10), pp. 96-103, Fall 2007.

The Stock-REIT Relationship and Optimal Asset Allocations, Doug Waggle* and Pankaj Agrrawal,泭, pp. 209-221, Vol. 12(3), Fall 2006. This paper was the basis of a MSc (Finance) thesis of泭University, Canada, 2012.

泭“Interaction Between Value Line’s Timeliness and Safety Ranks,” Doug Waggle*, Agrrawal, Pankaj and Don Johnson, , 10 (1), Spring 2001.

“The Effects of Blending Primary and Diluted EPS Data,” Pankaj Agrrawal and Ralph Goldsticker*, , Vol. 55 (2), March/April 1999. [ABDC泭 A]

“The Product Life Cycle: A Paradigm for Understanding Financial Management,” Pankaj Agrrawal and Dr. Benton Gup*, , Vol. 6 (2), Fall/Winter, 1996.

“Excess Capacity in Banking: Fact or Fiction?” Dr. Gup*, Benton E. and Agrrawal, Pankaj, , Vol 177, No. 4, 38-40, July/August 1994. [Industry publication]

禮 Visibility of research papers on , , Scopus Journal listing CiteScore SJR ranking Nov 2022 ;

禮禮 7 91腦瞳 faculty as co-authors.

Field Specific Productivity

Research included in Link to . 2024.

Research listed in Guzman and Klein’s (Nobel laureate) 2023.

Research quoted in the print edition of the泭New York Times, , by Tim Gray, Jan 11-13, 2019.

Research paper listed on the泭US Library of Medicine / National Institute of Health, PubMed泭site via泭, 2017.

Listed on Yahoo! Finance in an article by泭ETFdb.com泭on泭, Feb 7, 2013.

Total Returns Stocks Dividends iApp and the泭CorrectCharts iApp, released on泭Apples App store, under, of which I am the founder. July 2012. The Apps have been downloaded in over 30 countries. Copyright received from the泭Library of Congress, Reg. No. TXu 1-838-163, Aug, 2012.

Research of the泭Wall Street Journal, , by Jason Zweig, July 9, 2011.

Three papers on the泭泭lists of the published journals.

Media / TV: Appeared on local ABC/FOX TV and newspapers such as the Bangor Daily News, New York Times and the Wall Street Journal.

  • March 2025: published in the Sun Journal. This was regarding the influence of health insurance companies on the healthcare industry, discussing the financial dynamics between insurers and providers.泭
  • Feb 2025: Interviewed by the Bangor Daily泭News泭for a story on downgrade of Northern Light Health’s credit rating. This “major wake-up call” resulted in the community having higher borrowing costs and potential service reductions. 泭
    • May 2024: Paper and Commentary listed on a Global Finance petition to change a deep-rooted algorithmic issue on most major finance websites worldwide.
    • April 2024: on the petition:
    • Dec 2023: J. Journal of Investing paper refereed in Investopedia article on the Stock Market泭 , Dec 15, 2023 Ref. 2, 7, 8, 10.泭
    • Feb 2023: Paper utilized in # , awarded to Guzman & Klein ( Columbia University and U Penn Nobel Laureate )
    • Interview and comments in the Lewiston Sun Journal newspaper on the implications of the Sept 25, 2015
      • about how rising interest rates will affect Mainers June 16, 2022
      • on the Impact of COVID-19 on Market Stability, March 4, 2020
      • Research quoted in the print edition of the New York Times, , by Tim Gray, Jan 11-13, 2019.
      • Interview and comments in . May 9, 2013.
      • Copyright from the Library of Congress. and the CorrectCharts iApp, released on Apples App store, under Cloud Epsilon LLC, of which I am the founder. Apps have been downloaded in over 30 countries. Reg. No. TXu 1-838-163, Aug, 2012.
      • ABC TV interview on the US AAA downgrade, August 10, 2011.
      • Quoted on Dividend Investing in Forbes, July 16, 2011.
      • Research quoted in the global print edition of the Wall Street Journal, , July 9, 2011.

@0:05 on this泭2014泭

Discussing WRDS and Bloomberg on泭

Service to University and College

  • Hudson Museum Board, Cooperating Curator (2025)
  • UMS R&D Steering Committee member
  • Provosts SVV (Strategic Values and Vision) committee
  • Presidents Commission on Excellence and Equity at the University of Maine
  • University Graduate Board member and on the ExCom of Graduate Board
  • Graduate Curriculum Taskforce (GCTF) Committee
  • Boston Bear Treks: Students trip
  • VP, AFUM, UM, Orono chapter
  • *present and past

Awards

  • His paper on IPO pricing and also on a Trigonometric test for portfolio efficiency泭received the Best Doctoral Paper Awards at the 1995 and 1996 SWFA conferences in Houston and San Antonio, Texas.
  • Inducted into the business honor society泭in 1996.
  • In 2007 he was the recipient of the Salgo summer research grant as well as 91腦瞳s SGA Outstanding Faculty Advisor award.
  • In 2009, his proposal for ETF Betas on Financial Websites was selected for the Summer Faculty Research award by the泭University Faculty Research Funds泭Committee (later published in the JOI).
  • He is also one of the recipients of the 2009 91腦瞳泭Faculty Technology Stipend, that was utilized to develop a browser-free live portfolio tracker.
  • In April, 2010 he was the recipient of the MBS Deans Faculty Research paper award for his 泭paper and the Deans summer research grant.
  • In April, 2011 he received his tenure and that year he was also the recipient of the Deans Faculty Research Excellence award for the JBF 2010 paper.
  • Three of泭 his papers have been on the泭most read lists泭of the published journals.
  • He received the Deans Faculty Teaching Excellence award in April 2012.
  • In April 2013, the Maine Alpha Chapter of泭泭recognized him with the泭SigEp Faculty Member of the Year award, for his work as a professor at the Maine Business School and commitment to the students of the University of Maine.
  • In Spring 2016, he was inducted into the national泭honor society. Established in 1897 the society recognizes and encourages superior scholarship.
  • 2019: Promoted to Full Professor (Finance) and appointed the Finance Discipline Area Coordinator (2 years)
  • 2020 and 2021: Faculty advisor to two MBS teams that won the CFA Research Challenge State championship
  • In 2021, he was appointed the Nicolas M.泭Salgo Professor of Business.

Contact Links and Reference

  • ,
  • ,
  • (via the 91腦瞳 Foundation)
  • Research iD