INVESTING/PORTFOLIO STRATEGIES

2 Toronto professors win Markowitz prize

John C. Hull and Alan D. White — both of the Joseph L. Rotman School of Management, University of Toronto — were named winners of the $10,000 Harry M. Markowitz Award prize, according to a joint statement by New Frontier Advisors and the Journal of Investment Management.

The two will split the prize money for their paper, “LIBOR vs. OIS: the Derivatives Discounting Dilemma.”

Mr. Hull, Maple financial professor of derivatives and risk management, and Mr. White, Peter L. Mitchelson/SIT Investment Associates Foundation chair in investment strategy and professor of finance, conclude overnight indexed swap rates should be used over London interbank offered rates as the proxy for risk-free rates when valuing derivatives.

The winners of the awards, sponsored by New Frontier and the JOIM, were selected by a panel of Nobel laureates in economics, consisting of Mr. Markowitz, Robert C. Merton, Myron S. Scholes and William F. Sharpe.

The panel chose two papers as runners-up, recognizing each with a special distinction award and each with a $5,000 prize to be split by the two sets of authors.

Lawrence E. Harris, professor in finance and business economics at the Marshall School of Business, University of Southern California; Ethan Namvar, lecturer in finance, Haas School of Business, University of California, Berkeley; and Blake Phillips, assistant professor, University of Waterloo, co-authored a paper titled “Price Inflation and Wealth Transfer During the 2008 SEC Short-Sale Ban.”

Mark S. Seasholes, professor of finance at Hong Kong University of Science and Technology, and Ning Zhu, assistant professor of management, University of California, Davis, co-wrote a paper titled “Investing in What you Know: The Case of Individual Investors and Local Stocks.”

The awards are scheduled to be presented March 16 during a JOIM conference in San Diego.