Wharton’s Jacobs Levy Center to Investigate AI in Finance at Annual Conference

Press Release, September 17, 2021: The Jacobs Levy Equity Management Center for Quantitative Financial Research will explore the potential impact of artificial intelligence on the financial sector at its annual conference on Friday, September 20, at Jon M. Huntsman Hall on the University of Pennsylvania’s campus... in Philadelphia. The conference will hear presentations from scholars discussing recent advances in the application of AI to return prediction and feature a keynote session with Nobel laureate Robert Shiller and Wharton Professor Emeritus Jeremy Siegel. “Generative artificial intelligence is an exciting new technology with great promise,” said Bruce Jacobs, chair of the Jacobs Levy Center Advisory Board. “The insights from our distinguished speakers will help our industry adapt and benefit.”

The Birth of Portfolio Theory

by Frank J. Fabozzi, Bruce I. Jacobs, and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz, July 2024: The introduction to this special issue dedicated to Nobel laureate Harry Markowitz, co-edited by Frank Fabozzi, Bruce Jacobs, and Ken Levy, recalls the immense impact of... Harry’s foundational portfolio theories on the investing world, and describes how his insights continue to guide and shape portfolio management today. In recounting his many accomplishments in multiple fields of inquiry, the authors also highlight the affection he inspired from his colleagues and collaborators through his warmth, encouragement and support, and insatiable curiosity.

Portfolio Insurance, Portfolio Theory, Market Simulation, and Risks of Portfolio Leverage

by Bruce I. Jacobs and Kenneth N. Levy, Journal of Portfolio Management, Special Issue Dedicated to Harry Markowitz, July 2024: Bruce Jacobs and Ken Levy recall their decades-long working relationship with Nobel laureate Harry Markowitz, which began when Harry took an interest in Bruce’s efforts to debunk portfolio insurance... Harry adopted Bruce and Ken’s methodology for estimating security expected returns using cross-sectional analysis, and Bruce and Ken used Harry’s methods for portfolio construction. The three went on to collaborate on numerous projects, including exploring the value of using constraints in portfolio optimization, addressing the optimality and optimization of long-short portfolios, and developing JLMSim, an asynchronous, discrete-time, dynamic market simulator. Later, Bruce and Ken extended Harry’s portfolio theory to account for the unique risks of leverage through their mean-variance-leverage model. Bruce and Ken used the mean-variance-leverage model to address the optimal amount of leverage in 130-30-type portfolio strategies. The article delves into their collaborations and highlights how they drew inspiration from each other.