The Yale ICF would like to congratulate ICF Faculty Associate Director Bryan T. Kelly, Professor Tobias J. Moskowitz and their co-author Ronen Israel (AQR Capital Management) for winning the 2020 Harry M. Markowitz Award for their paper, "Can Machines 'Learn' Finance?" The award recognizes the authors’ work on the topic of machine learning for asset management and was presented by the Journal of Investment Management (JOIM) and New Frontier Advisors.
Professor Moskowitz previously won a Special Distinction Award in 2015 by JOIM and New Frontier Advisors for his paper, “Investing in Style.” Professor Roger Ibbotson won the Harry M. Markowitz Award that same year for his paper, “Momentum, Acceleration, and Reversal.”
About the 2020 winning paper: Machine learning for asset management faces a unique set of challenges that differ markedly from other domains where machine learning has excelled. Understanding these differences is critical for developing impactful approaches and realistic expectations for machine learning in asset management. We discuss a variety of beneficial use cases and potential pitfalls, and emphasize the importance of economic theory and human expertise for achieving success through financial machine learning. Read more.
About the Harry M. Markowitz Award: The award recognizes the seminal and transcendent impact of Dr. Markowitz’s work as a financial economist and mathematician on both theoretical finance and the practice of asset management. The award has been established to honor his legacy and to support future research and innovation in practical asset management. The winners are finalized by a Special Selection Panel comprised of Nobel Prize Laureates.
For more about this year’s award, read the official press release.