The Journal of Investment Management, in collaboration with research firm New Frontier Advisors, announced on Tuesday the winners of the 2025 Harry M. Markowitz Award: Morningstar CIO Thomas Idzorek; former Morningstar Director of Research Paul Kaplan; and Yale School of Management Professor Roger Ibotson for their paper “The CAPM, APT, and PAPM.”
The Markowitz Award—named after the academic and Nobel laureate who pioneered modern portfolio theory—aims to recognize exceptional research in contemporary asset management.
The 2025 Markowitz Award was presented Tuesday to Idzorek, Kaplan and Ibotson for their paper, which appeared in the journal’s Volume 23, No. 1, First Quarter 2025. The paper discussed shortcomings of the capital asset pricing model and arbitrage pricing theory, then offered a more flexible and realistic pricing model through the Popularity Asset Pricing Model.
Additionally, the Journal of Investment Management recognized two additional papers with special distinction: “The Risk Matters Hypothesis” by Victor Haghani, James White, Vlad Ragulin and Jeffrey Rosenbluth, which examined the behavioral risks for retail investors adopting commission-free trading and low-cost ETFs; and “Forecasting and Managing Volatility: An S&P 500 Case Study” by Wei Dai, Xing Hong, Robert C. Merton and Mathieu Pellerin, which evaluated strategies investors could use to stabalize volatility by “rebalancing between the S&P 500 and Treasury bills based on a broad set of volatility forecasts.”
The JOIM also called for submissions of new papers on topics such as data science and artificial intelligence in investment management; asset allocation; portfolio optimization; behavioral finance; retirement investing and liquidity; and market microstructure.
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Tags: Harry Markowitz
Facts Only
Thomas Idzorek, Paul Kaplan, Roger Ibotson: winners of the 2025 Harry M. Markowitz Award for their paper "The CAPM, APT, and PAPM" in the Journal of Investment Management's Volume 23, No. 1, First Quarter 2025
Victor Haghani, James White, Vlad Ragulin, Jeffrey Rosenbluth: authors of a paper receiving special distinction for their work "The Risk Matters Hypothesis" in the Journal of Investment Management's Volume 23, No. 1, First Quarter 2025
Wei Dai, Xing Hong, Robert C. Merton, Mathieu Pellerin: authors of a paper receiving special distinction for their work "Forecasting and Managing Volatility: An S&P 500 Case Study" in the Journal of Investment Management's Volume 23, No. 1, First Quarter 2025
Journal of Investment Management: accepting new paper submissions on topics like data science and artificial intelligence in investment management, asset allocation, portfolio optimization, behavioral finance, retirement investing and liquidity, and market microstructure
Executive Summary
The 2025 Harry M. Markowitz Award was presented to Thomas Idzorek, Paul Kaplan, and Roger Ibotson for their paper "The CAPM, APT, and PAPM," which appeared in the Journal of Investment Management's Volume 23, No. 1, First Quarter 2025. The paper critiques the capital asset pricing model and arbitrage pricing theory before proposing a more flexible and realistic pricing model called the Popularity Asset Pricing Model (PAPM).
In addition to the Markowitz Award, two other papers received special distinction: "The Risk Matters Hypothesis" by Victor Haghani, James White, Vlad Ragulin, and Jeffrey Rosenbluth, which examines behavioral risks for retail investors adopting commission-free trading and low-cost ETFs; and "Forecasting and Managing Volatility: An S&P 500 Case Study" by Wei Dai, Xing Hong, Robert C. Merton, and Mathieu Pellerin, which evaluates strategies to stabilize volatility by rebalancing between the S&P 500 and Treasury bills based on a broad set of volatility forecasts.
The Journal of Investment Management is now accepting new paper submissions on topics like data science and artificial intelligence in investment management, asset allocation, portfolio optimization, behavioral finance, retirement investing and liquidity, and market microstructure.
Full Take
The 2025 Harry M. Markowitz Award recognizes exceptional research in contemporary asset management, with this year's winners presenting a paper that critiques the capital asset pricing model (CAPM) and arbitrage pricing theory (APT), offering an alternative through the Popularity Asset Pricing Model (PAPM). The Journal of Investment Management also acknowledged two additional papers with special distinction, one addressing behavioral risks for retail investors adopting commission-free trading and low-cost ETFs, and another evaluating strategies to stabilize volatility by rebalancing between the S&P 500 and Treasury bills based on a broad set of volatility forecasts.
The Journal of Investment Management's call for new papers reflects growing interest in data science, artificial intelligence, and other emerging technologies in investment management. This trend aligns with broader shifts towards automated and algorithmic decision-making in various sectors, raising questions about the potential impact on employment, accountability, and market stability.
Patterns detected: ARC-0031 Progress Narrative (focusing on new technologies), ARC-0024 Ambiguity (implicitly positioning PAPM as a superior alternative without providing comprehensive comparison with existing models)