Vol. 23, No. 3, 2025 By Christoph Reschenhofer and Josef Zechner This paper demonstrates that portfolio performance can be substantially enhanced by simultaneously utilizing historical factor return volatilities and option-derived market volatilities to optimize factor exposures. The improvements are particularly pronounced in regimes where option-implied market returns exhibit high volatility and right-skewness. Further gains in… Read more
Articles
Optimizing Large Language Models for Sustainable Investors
Vol. 23, No. 3, 2025 By Andrew Chin, Che Guan, Promod Rajaguru, Qifeng Sun and Yuning Wu We use large language models (LLMs) and natural language processing (NLP) to extract environmental, social and governance (ESG) insights from real-time news, creating an expert-annotated dataset to evaluate ESG classification, firm relevance, and sentiment. Our fine-tuned models outperform… Read more
Building Net Zero Portfolios of Sovereign Bonds
Vol. 23, No. 3, 2025 By Gong Cheng, Eric Jondeau and Benoît Mojon We propose a method for creating a sovereign securities portfolio that gradually reduces its carbon footprint, in line with the Paris Agreement. This allows passive investors to achieve netzero (NZ)targets while maintaining risk-adjusted returns similar to a business-as-usual benchmark. From 2015 to… Read more
A Transparent Alternative to Neural Networks with an Application to Predicting Volatility
Vol. 23, No. 3, 2025 By Megan Czasonis, Mark Kritzman and David Turkington Many prediction tasks in economics and finance involve complicated relationships that lie beyond the reach of linear regression analysis. Neural networks can capture these complex dynamics, but they are notoriously opaque and difficult to implement. We show that an alternative model-free prediction… Read more
Why Genetic Medicines and Why Now?
Vol. 23, No. 2, 2025 Neil Kumar Transcript of a talk presented at the Spring JOIM Conference honoring Harry M. Markowitz on March 24–26, 2024, at the Rady School of Management, UCSD. View PDF… Read more
Why Fusion and Why Now?
Vol. 23, No. 2, 2025 Dennis Whyte Transcript of a talk presented at the Spring JOIM Conference honoring Harry M. Markowitz on March 24–26, 2024, at the Rady School of Management, UCSD. View PDF… Read more
Collaborating with Harry Markowitz: A Remembrance
Vol. 23, No. 2, 2025 Bruce Jacobs Bruce Jacobs recounts his long professional and personal relationship with Harry Markowitz spanning more than 30 years in remarks delivered at the Spring 2024 JOIM Conference at the University of California, San Diego. Bruce and Harry shared similar interests and did complementary work. This led to collaboration, debate… Read more
The Unreasonable Effectiveness of Portfolio Theory in Theory and Practice
Vol. 23, No. 2, 2025 Andrew W. Lo As one of the founding fathers of modern finance, Harry M. Markowitz changed the way financial economists think about financial markets and institutions, and transformed the practice of finance from art to science. To honor his memory, I provide three specific examples of how portfolio theory played… Read more
Markowitz Wealth Management to Pension Plans: Augmenting the Funded Ratio with New Metrics
Vol. 23, No. 2, 2025 Sanjiv Das Transcript of a talk presented at the Spring JOIM Conference honoring Harry M. Markowitz on March 24–26, 2024, at the Rady School of Management, UCSD. View PDF… Read more
Have Capital Markets Forgotten about Sustainability?
Vol. 23, No. 2, 2025 Robert Engle Transcript of a talk presented at the Spring JOIM Conference honoring Harry M. Markowitz on March 24–26, 2024, at the Rady School of Management, UCSD. View PDF… Read more