Andrew W. Lo of the Massachusetts Institute of Technology was named winner of the top $2,500 prize in the Bernstein Fabozzi/Jacobs Levy Awards.
Mr. Lo, a professor of finance at the Sloan School of Management and director of the MIT Laboratory for Financial Engineering, was honored for his article “What is an Index?”
The article, which appeared in the winter 2016 issue of The Journal of Portfolio Management, addressed “technological advances in telecommunications, securities exchanges and algorithmic trading, which have facilitated a host of new investment products,” and included Mr. Lo's thoughts on how risk should be managed actively even for passive strategies, according to a statement from Jacobs Levy Equity Management, which funds the awards.
“ Andrew Lo dug deeply into what, on its surface, appeared to be a simple, commonplace financial product, and he found a host of cutting edge issues that deserve our attention,” said Bruce Jacobs, principal and co-founder of Jacobs Levy Equity Management, in the statement.
The winners were selected by subscribers who voted for the best papers published in the journal and its special QES issue in 2016.
The awards, in their 18th year, are named for Peter L. Bernstein, who founded the journal; Frank J. Fabozzi, editor; and Jacobs Levy Equity Management.
The paper is available on the Journal of Portfolio Management’s website. Subscription is required.