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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… Read more

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

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

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… Read more

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… Read more

Vol. 23, No. 2, 2025 Robert Merton, William F. Sharpe, Vineer Bhansali, Kenneth Blay, and Mark Kritzman We were honored to have Nobel Laureates and investment management practitioners share their thoughts on the contributions and recollections of Harry M. Markowitz… Read more

Vol. 23, No. 1, 2025 by Stephen Laipply, Ananth Madhavan, James Mauro and Nogie Udevbulu Assets in fixed income index mutual funds and exchange-traded funds (ETFs) have grown substantially in recent years. This paper examines fixed income index fund portfolio rebalancing efficiency using empirical evidence from four large fixed income index funds. We show how… Read more

Vol. 23, No. 1, 2025 by Thomas M. Idzorek, Paul D. Kaplan and Roger G. Ibbotson The Popularity Asset Pricing Model (PAPM) generalizes the Capital Asset Pricing Model (CAPM) with popularity as the basis for multiple priced characteristics. The CAPM along with the Arbitrage Pricing Theory (APT) are the dominant textbook asset pricing models. Both… Read more

Vol. 23, No. 1, 2025 by Moshe Levy None of the explanations suggested so far for the size anomaly seems to be consistent with the empirical evidence. This paper examines under-diversification as a possible explanation for the size effect. When the portfolio weight of a stock is non-negligible, its variance is priced. As small stocks… Read more