Markowitz Award Vote
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.
Papers are judged by the JOIM’s Associate Editors, Editorial Advisors and Advisory Board.
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.
Guidelines:
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 22, No. 1, First Quarter 2024
Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique
Bob Korkie and H. J. Turtle
Accelerating the Capital Solution to Climate Change
Yu (Ben) Meng, Anne Simpson, Anna Snider and Christina Yi
Biotech Asset Valuation Methods: A Practitioner’s Guide
Amitabh Chandra and Sumon Mazumdar
Surveys&Crossovers – Unrealistic Expectations: The Futility of Precisely Estimating a Stock’s Expected Return
Sanjiv R. Das and Daniel Ostrov
Volume 22, No. 2, Second Quarter 2024
Optimal Portfolio Choice with Absorbing Markov Chains: Application to Markets that May Potentially Decouple
Andrew Ang, Henry Shen, Jeff Shen and Rui Zhao
Full-Scale Currency Hedging
Megan Czasonis, Mark Kritzman and David Turkington
Extreme Weather and Retirement Savings
Ted Daverman, Joshua Kazdin, Michael Pensky and Fiona Sloof
Night Moves: Is the Overnight Drift the Grandmother of all Market Anomalies?
Victor Haghani, Vladimir Ragulin and Richard Dewey
Volume 22, No. 3, Second Quarter 2024
The Future of Derivatives Research: Modeling Risk and Return Dynamics I
Equivalent Expectation Measures for Risk and Return Analysis of Contingent Claims
Sanjay K. Nawalkha and Xiaoyang Zhuo
Stock Market Insurance Prices, BL Skew, Conditional Marginal Utilities and the Equity Risk Premium
Douglas T. Breeden
The Options-Inferred Equity Premium and the Slippery Slope of the Negative Correlation Condition
Gurdip Bakshi, John Crosby, Xiaohui Gao, Jinming Xue and Wei Zhou
Forecasting the Distribution of Option Returns
Leandro Gomes, Roni Israelov and Bryan Kelly
Volume 22, No. 4, Second Quarter 2024
The Future of Derivatives Research: Modeling Risk and Return Dynamics II
Hedging Barrier Options Using Reinforcement Learning
Jacky Chen, Yu Fu, John Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
Training Machines to Trade Stocks
Dilip B. Madan and King Wang
Fooled by the Black Swan
Sanjay K. Nawalkha
Arbitrage Pricing Theory 50 Years After Black Merton Scholes
Robert A. Jarrow