Stanford Professors Win Nobel Award for Research on Auctions

by James Comtois, Pensions & Investments, October 14, 2020: Paul R. Milgrom and Robert B. Wilson were awarded the 2020 Nobel Prize in Economic Sciences for their work on auction systems. In the article, Bruce Jacobs observes that “their insights have been applied around the world to the sale of everything from airport... landing slots to government bonds.” Jacobs added that “with Lawrence Glosten, Milgrom applied work on auction markets to explain how market makers create a bid-ask spread (different prices for buyers and sellers) to recoup losses from trades with informed traders who may have superior information.”

An Interview with Bruce I. Jacobs

An Interview with Bruce I. Jacobs, Principal, by Portfolio Management Research, May 4, 2020: Bruce Jacobs discusses the key research concepts that serve as the foundation of Jacobs Levy Equity Management’s investment practice, including disentangling equity factors, smart beta vs. smart alpha, integrated long-short portfolios, introducing the idea of 130-30 portfolios, is 130-30 the right amount of leverage, financial market simulation, his book co-authored with Ken Levy, Equity Management: The Art and Science of Modern Quantitative Investing, and his two books on market crises, Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and Too Smart for Our Own Good: Ingenious Investment Strategies, Illusions of Safety, and Market Crashes. He also recounts the origins of the Bernstein Fabozzi/Jacobs Levy Awards, which recently celebrated their 20th anniversary.

Why Free-Lunch Strategies Cause Market Crashes

Interview with Bruce I. Jacobs, Knowledge@Wharton, April 20, 2020: Bruce Jacobs discusses how some quantitative financial products contributed to past financial crises and have increased market instability in the current pandemic crisis. “It’s critical for investors, executives, and regulators to understand the types of...  instruments and strategies created by quantitative finance, because some of these can have systemic implications,” he said. Bruce also talks about some potential solutions, including explicit consideration of leverage risk in portfolio formation and financial market simulation modeling.