The Harry M. Markowitz Award (sponsored jointly by the Journal Of Investment Management & New Frontier Advisors, LLC) recognizes the seminal and transcendent impact of Dr. Markowitz’s work as a financial economist and mathematician on both theoretical finance and the practice of asset management. The award has been established to honor his legacy and to support future research and innovation in practical asset management. Candidates for the annual award are chosen from among papers published in JOIM in a calendar year.
Initial papers are judged by the JOIM’s Associate Editors / Editorial Advisors and final vote by Nobel laureates.
An honorarium of $10,000 will be bestowed to the winning paper. Two additional finalist papers will receive a Special Distinction Award along with a $5,000 honorarium.
Select the top three papers published in the JOIM for consideration of award nominees. Papers should be judged on three primary criteria’s: practical significance, technical excellence and theoretical quality. Authors may not vote for themselves.
Volume 18, No. 1, 2020
The Fully-Anticipated P/E Promise and Its Realization
Martin L. Leibowitz, Stanley Kogelman and Anthony Bova
Do High-Frequency Traders Improve Your Implementation Shortfall?
Robert A. Korajczyk and Dermot Murphy
Timing is not Everything—Assessing Manager Skill in Factor Timing
Andrew Chin and Piyush Gupta
Abhilash Babu, Ari Levine, Yao Hua Ooi, Lasse Heje Pedersen and Erik Stamelos
Time-Series Variation in Factor Premia: The Influence of the Business Cycle
Christopher Polk, Mo Haghbin and Alessio de Longis
Fair and Responsible Drug Pricing: A Case Study of Radius Health and Abaloparatide
Qingyang Xu and Andrew W. Lo
Volume 18, No. 2, 2020
Special Issue: Machine Learning in Capital Markets
On the Stability of Machine Learning Models: Measuring Model and Outcome Variance
Vasant Dhar and Haoyuan Yu
Can Machines “Learn” Finance?
Ronen Israel, Bryan Kelly and Tobias Moskowitz
Dynamic Goals-Based Wealth Management Using Reinforcement Learning
Sanjiv R. Das and Subir Varma
Using Machine Learning to Predict Realized Variance
Peter Carr, Liuren Wu and Zhibai Zhang
Local, Global, and International CAPM: For Which Countries Does Model Choice Matter?
Demissew Ejara, Alain Krapl, Thomas J. O’Brien and Santiago Ruiz de Vargas
Volume 18, No. 3, 2020
Measuring Risk Preferences and Asset-Allocation Decisions: A Global Survey Analysis
Andrew W. Lo, Alexander Remorov and Zied Ben Chaouch
Correlation Shrinkage: Implications For Risk Forecasting
Jose Menchero and Peng Li
Is Sell-Side Research More Valuable in Bad Times?
Roger K. Loh and René M. Stulz
Comparing Anomalies Using Liquidity and Earnings
Robert Snigaroff, David Wroblewski and Sean Sehyun Yoo
Attribution of Ex-Post Realized Sharpe Ratio to The Predictability Of The Ex-Ante Forecast Return and Risk
Volume 18, No. 4, First Quarter 2020
Towards Replacing the Defined Benefit Plan: Assured Retirement Income Provided by a Liquid Investment Fund
Miguel Palacios, Hayne Leland and Sasha Karimi
A Six-Component Integrated Approach to Addressing the Retirement Funding Challenge
Robert C. Merton and Arun Muralidhar
How Much Can Collective Defined Contribution Plans Improve Risk-Sharing?
Deborah Lucas and Daniel Smith
What drives Active Share? Active Stock Selection or Active Stock Weights
Aymen Karoui and Saurin Patel
Multi-Period Portfolio Selection: A Practical Simulation-Based Framework
Kenneth Blay, Anish Ghosh, Steven Kusiak, Harry Markowitz, Nicholas Savoulides and Qi Zheng