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 19, No. 1, First Quarter 2021
Insights: Active Investing and the Efﬁciency of Security Markets
Investment Style Volatility and Mutual Fund Performance
Keith C. Brown, W. V. Harlow and Hanjiang Zhang
Lending to Lose: Who Buys Negatively Yielding Bonds and What it Means for Investors
Idiosyncratic Risk and When to Tilt Toward Value
Jason D. Fink and Kristin E. Fink
Comovement, Liquidity and Asymmetries
James X. Xiong
Volume 19, No. 2, Second Quarter 2021
Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency: The Goals and Risk-Based Asset Pricing Model
Active Investing as a Negative Sum Game: A Critical Review
Geoffrey J. Warren
What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities
Ananth Madhavan, Aleksander Sobczyk and Andrew Ang
The Magic Formula: Value, Profitability, and the Cross-Section of Global Stock Returns
Douglas W. Blackburn and Nusret Cakici
Volume 19, No. 3, Third Quarter 2021
A New Index of the Business Cycle
William Kinlaw, Mark Kritzman and David Turkington
Long-Run Implied Market Fundamentals: An Exploration
On the Use of the Daily Fama–French Risk-Free Rate
Joshua C. Fairbanks, Mark D. Grifﬁths and Drew B. Winters
Advances in Estimating Covariance Matrices
Jose Menchero and Lei Ji
A Market Signal-Based Alternative to Buy-and-Hold Investing
Atanu Saha and Yong Xu
Volume 19, No. 4, Fourth Quarter 2021
Insights – Are We at the Inflection Point of Climate Investing?
Yu (Ben) Meng
How Do Factor Premia Vary Over Time? A Century of Evidence
Antti Ilmanen, Ronen Israel, Rachel Lee, Tobias J. Moskowitz and Ashwin Thapar
The U.S. Treasury Term Structure and the Distribution of Real GDP Growth
J. Benson Durham
Good States, Bad States: What Do Options Tell Us About Schizophrenic Behavior of Mr. Market and What Can We Do About It?
Vineer Bhansali and Jeremie Holdom
Horizon-Adjusted Portfolio Performance Measure
Yoram Kroll and Moshe Ben-Horin
Private Equity Valuation Before and After ASC 820
Peter Easton, Stephannie Larocque and Jennifer Sustersic Stevens