The Journal of Investment Management announced it established an award honoring Nobel laureate Harry M. Markowitz.
The journal, published by Gifford Fong Associates in Lafayette, Calif., announced Wednesday it established the award to honor Markowitz’s legacy and support future research and innovation in practical asset management, the publishers said.
Markowitz, renowned for his work on modern portfolio theory, has had a significant impact on the field of economics and finance.
The award will honor journal contributors whose submissions excel in three areas: practical significance, technical excellence and theoretical quality. The selection committee will consider papers published in the journal this year. A panel comprised of four Nobel laureates, Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe, will make the final selection.
The award will be presented in March at the publication’s spring conference in San Diego. The winner will receive a $10,000 prize, and two finalists will receive a special distinction award, along with a $5,000 prize. New Frontier Advisors, a Boston-based research and investment advisory firm will sponsor the monetary awards.
In his autobiography published by the Nobel Foundation, Markowitz described a childhood of middle-class contentment. His parents ran a grocery store, they always had enough to eat, and he was never aware of the Great Depression. That stands in vivid contrast to everything Markowitz has contributed to theoretical finance, and practical asset management since then.
Markowitz is recognized as the founder of modern portfolio theory, which holds that a portfolio should be widely diversified across asset classes not correlated to each other, to mitigate risk. It is part of a scientific approach to portfolio management in wide use today, and earned him the Nobel Prize in economics in 1990, along with Merton Miller and William Sharpe. Markowitz’s investor-centric theories and research resulted in other breakthroughs, like the Capital Asset Pricing Model. That is used to determine an asset’s theoretically appropriate rate of return in a diverse portfolio.
He also made huge strides in computer technology as it is applied to asset management. In 1989, he won the John von Neumann Theory Prize for his contributions to portfolio theory, sparse matrix methods, and simulation language programming.
Markowitz is a professor of finance at the Rady School of Management at the University of California, San Diego.