“Quants have gone mainstream,” said Dr. Bruce I. Jacobs, G’79, GRW’86, at the outset of the Forum on Quantitative Finance, the first annual conference of the Jacobs Levy Equity Management Center for Quantitative Financial Research. The Jacobs Levy Center is dedicated to idea creation and innovation to the benefit of the financial industry, corporations and, ultimately, our everyday lives.
It is a lofty goal, but one that resonated throughout the day at the forum, which showcased cutting-edge research in the quant finance space and presented an honor to one of the industry’s truly impactful players.
That “industry player” being Harry Markowitz, adjunct professor of finance at the Rady School of Management, University of California, San Diego, and Nobel Laureate.
As Kenneth N. Levy, WG’76, G’82, explained in presenting the Wharton-Jacobs Levy Prize for Quantitative Financial Innovation to Markowitz, the professor earned the Nobel Prize in 1990 largely for his research in investment diversification, which undergirds modern portfolio theory. But what would be a lifetime achievement for most of us was just the beginning for Markowitz, Levy said. The Wharton-Jacobs Levy Prize committee judges believe that Markowitz’s subsequent work in retirement planning ranks alongside his Nobel Prize-winning achievements. His retirement work replaces the “guess work” and “rules of thumb” that used to guide pre- and post-retirement decisions, Jacobs said.
“This is gorgeous, isn’t it?” Markowitz said as he was handed the medal, adding that he would need to place it in his vault alongside his Nobel Prize.
A distinguishing feature of the Wharton-Jacobs Levy Prize is not only its focus on recognizing research, but its celebration of the practical application of research in real-world scenarios, stressed Michael R. Gibbons, Wharton’s deputy dean and I.W. Burnham II Professor of Investment Banking.
The same could be said of the research presented by the other speakers at the forum, which included Lasse Heje Pedersen, the NYU Stern School of Business and Copenhagen Business School professor; Andrew Ang, professor and chair of the Finance and Economics Division at Columbia Business School; Robert Stambaugh, Wharton’s Miller Anderson & Sherrerd Professor of Finance; and Bruce Jacobs and Ken Levy themselves.
The Forum on Quantitative Finance took place on Oct. 23, 2013, at the Marriott Marquis in Manhattan. Future conferences will take place every year.
Beyond the conference and the Wharton-Jacobs Levy Prize, the Jacobs Levy Center brings together many departments within the Wharton School, as well as connects the business school with the schools of Arts and Sciences, Engineering and Applied Science, and practitioners throughout the world of finance.