Harvard Professor Wins Nobel Prize in Economics for Research on Women

by Palash Ghosh, Pensions & Investments, October 9, 2023: Claudia Goldin of Harvard was awarded the Nobel Prize in Economics “for collecting and interpreting two centuries of data that have revealed the factors that affect women’s opportunities in the labor market and contribute to gaps in pay that exist to this day,” Bruce Jacobs said... In tracing women’s earnings and workforce participation over such an extended period, Goldin’s research highlighted “the role of parenthood in explaining the pay gap between women and men, which remains at 10% to 20% in high-income countries, even as women have equaled and surpassed men’s educational levels,” Bruce added.

Bruce I. Jacobs’s Remarks in Remembrance of Harry M. Markowitz at the Q Group Fall 2023 Seminar

Q Group Fall Seminar, Arizona, October 2, 2023: Bruce Jacobs recalled his and Ken Levy’s collaborations with Harry Markowitz on projects including the optimization of long-short portfolios and the creation of a financial market simulator during his remarks at the Memorial for Harry Markowitz. Bruce also expressed his appreciation... to Harry for his insights in the foreword to Bruce’s book, Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes, and in Bruce and Ken’s books Equity Management: Quantitative Analysis for Stock Selection, and its second edition, Equity Management: The Art and Science of Modern Quantitative Investing. In the forewords for the latter two books, Harry discussed how we “build upon each other’s research.” One such example is Harry’s paper responding to Bruce and Ken’s articles exploring mean-variance-leverage optimization, which is an extension of Harry’s mean-variance optimization. In Bruce’s concluding remarks, he said, “Harry, you will be missed—your love of learning, your lifelong dedication to the field, and your knowledge creation. Your legacy will live on for generations.”

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Pete Kyle Wins 2023 Wharton-Jacobs Levy Prize for Trading Model

by Rob Kozlowski, Pensions & Investments, September 25, 2023: Albert S. “Pete” Kyle is the recipient of the 2023 Wharton-Jacobs Levy Prize for Quantitative Financial Innovation for his research on market microstructure. The award recognizes Kyle for his 1985 paper, “Continuous Auctions and Insider Trading,”... which introduced a model of informed trading that has been widely adopted in academia as well as by traders. Erika James, Dean of the Wharton School, called Kyle’s paper “groundbreaking in that it substantially enhanced understanding of the functioning of financial markets for academic researchers and financial practitioners.”