Aaron Brown​​

Here is the story of my life, in the unlikely event anyone is interested. The flattering picutre on the left was drawn for me by the wonderful manga artist Eric Kim.
I was born in Seattle, Washington in 1956. I was a quant nerd and computer geek before anyone (including me) knew what those things were.
Among other things, I was always fascinated by gambling. Ed Thorp's books Beat the Market and Beat the Dealer (the latter with Sheen Kassouf) were great influences on me. I studying horse racing, sports betting, backgammon and other games, but my greatest love was poker. I played my first commercial poker in the basement of a local tavern at 14. I wasn't surprised to learn I was much better than the adults playing; I had never doubted that. What thrilled me was to learn I could walk into a room of strangers and walk out with their money, and no one got mad. This was a formative experience for me, and the knowledge has served me well. Unfortunately most of the world is not as civilized as poker players and tavern basements, so sometimes along my way, people have gotten mad. But I always left with the money either way.
At 17, I left home for Harvard. I learned a lot from some quantitative experts during my Cambridge years, especially my advisor, Harrison White, my long-time sort-of-collaborator, Fischer Black, W. V. O. Quine, Frederick Mosteller and John Tukey. But overall, I was appalled at the terrible data and sloppy analysis everyone did. It may have looked like quantitative analysis, but in my view, no one would bet on the results.

Oh, and the poker at Harvard was great.
I was not alone in my feelings. A bunch of overeducated math types decided that the only way to find out what quantitative analysis techniques worked was to head for Las Vegas. If a gambler paid you for your predictions, it wasn't because your math was clever or your academic politics shrewd or you were telling him what he wanted to hear. He didn't want to pay you. He tried his hardest not to. And if he did, it was because you were right. Plus you could test your ideas hundreds of times per hour rather than waiting years to find out whether you were right or not, and arguing about it even then.
After a few years of that, I decided to try my hand at financial markets. I entered the University of Chicago PhD program in finance. Over the next three years I finished my course requirements, picked up an MBA, passed my qualifying exams, wrote my ciriculum paper and wrote--but never defended--my dissertation. I left for Wall Street in 1983 intending to finish up the degree, but never did. I was more successful in my trading during these years, primarily in the relatively new (at the time) options markets.

On Wall Street I worked as a portfolio manager, trader, head of quantitative research and head of mortgage securities for various firms. But the crash of 1987 convinced me that the really important area was risk management. For the next 30 years I would work as a risk manager for major financial institutions, with a few times out to be a finance professor and found an Internet activist public mutual fund and some other stuff. I wrote some books and articles, and won some awards, and made  (and lost) some money.

Oh, and the poker at Chicago, and especially on Wall Street, was great.
Now, having turned 60, I've decided to simplify my life. I'm leaving full-time employment to be a professor and to write and think. I'm planning to put some of the results of that writing and thinking on this website. I hope you enjoy and profit from it.