RISK MANAGEMENT

2 professors win Markowitz prize for paper on sovereign wealth risk management

Zvi Bodie and Marie Briere were named winners of the $10,000 Harry M. Markowitz Award prize, said H. Gifford Fong, editor of the Journal of Investment Management, which co-sponsors the award with New Frontier Advisors.

The two will split the prize money for their paper, “Sovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealth,” Mr. Fong said, making the announcement Tuesday.

Mr. Bodie is the Norman and Adele Barron Professor of Management at Boston University, and Ms. Briere is head of the investor research center at Amundi and an affiliate professor at Paris Dauphine University.

The winners of the awards were selected by a panel of Nobel laureates in economics, consisting of Mr. Markowitz, namesake of the award; 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.

Peter Lee, senior research scientist, AlphaSimplex Group LLC, and Andrew Lo, the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management and director of the MIT Laboratory for Financial Engineering, and chairman and chief investment strategist at AlphaSimplex, co-authored “Hedge Fund Beta Replication: A Five Year Retrospective.”

Lisa Goldberg, adjunct professor of statistics, University of California, Berkeley, and director of research at its Center for Risk Management, and director of research at Aperio Group; Ran Leshem, chief investment officer, Aperio; and Patrick Geddes, partner and CEO at Aperio, co-authored “Restoring Value to Minimum Variance.”

The winning papers were selected from papers published in the JOIM in 2014.

The awards will be presented by Mr. Markowitz at a JOIM conference April 26 in La Jolla, Calif. The winners have been invited, said Mr. Fong, who is also president of Gifford Fong Associates, a firm whose focus includes fixed income, derivative product and asset allocation analysis.