University of Maryland Finance Professor Wins Wharton-Jacobs Levy Prize

by Rob Kozlowski, Pensions & Investments, September 15, 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.”

Japan's GPIF Lays Groundwork for More Active Management

by Douglas Appell, Pensions & Investments, August 16, 2023: Japan's Government Pension Investment Fund has awarded a mandate to Jacobs Levy Equity Management, selected through a process that used quantitative, data-driven screens of manager skill. As of March 2023, the account size was reported as $1.56 billion.

Harry Markowitz: An Appreciation

by John Guerard, Wilmott Magazine, July 11, 2023: In John Guerard’s tribute to Harry Markowitz (Part II), he reviews the longstanding, collaborative relationship between Bruce Jacobs and Ken Levy and Markowitz, which included the development of the JLM Market Simulator and an examination of the optimization of portfolios with short positions... John also notes that Bruce and Ken extended Markowitz’s mean-variance optimization model to include a term that captures the unique risks of leverage. Bruce and Ken were great friends of Harry for decades and their collaboration produced four articles.