alice html test
 |
The Journal of Portfolio Management (JPM) has named Petter Kolm ‘Quant of the Year’ for 2021. JPM’s Quant of the Year Award recognizes a researcher’s history of outstanding contributions to the field of quantitative portfolio theory. Campbell Harvey, winner of last year’s Quant of the Year Award for his work on research methods and separating luck from skill in asset management, said of the 2021 award: "Petter Kolm has made key contributions to multiperiod Bayesian portfolio optimization, as well as dynamic replication and hedging. His important recent work shows how to use reinforcement learning to solve challenging dynamic optimization problems.” Frank Fabozzi, Editor of JPM, noted that Dr. Kolm has an outstanding reputation among academics and practitioners that helps bridge the gap between the academic and practitioner communities, a critical mission of JPM. He pointed to Dr. Kolm’s 2017 research with Gordon Ritter exposing the duality between Black-Litterman optimization and Bayesian regression. Research conducted by Kolm and Ritter in 2020 demonstrating how intertemporal choice problems can be approached through the use of reinforcement learning techniques is another important contribution to the literature, Mr. Fabozzi added. He cited numerous other works Dr. Kolm contributed to, including Quantitative Equity Investing: Techniques and Strategies (2010), Robust Portfolio Optimization and Management (2007), Financial Modeling of the Equity Market: From CAPM to Cointegration (2006), and Trends in Quantitative Finance (Research Foundation of the CFA Institute, 2006). In receiving this award, Dr. Kolm said: “As an academic and a practitioner, I am extremely honored to receive this year’s Quant of the Year Award. I hope it draws attention to recent developments in portfolio and risk management that leverage cutting-edge techniques from financial machine learning, computational and Bayesian statistics, and dynamic optimization. I would like to thank my co-authors and students for continuing to challenge me and for their invaluable contributions.” To read the full announcement, please find the press release here. |
Petter Kolm
Petter Kolm is Clinical Full Professor and Director of the M.S. in Mathematics in Finance Program at the Courant Institute of Mathematical Sciences, New York University, since 2007. He is also Partner at CorePoint-Partners.com. Previously, Petter worked in the Quantitative Strategies group at Goldman Sachs Asset Management, developing proprietary investment strategies, portfolio and risk analytics in equities, fixed income and commodities.
Petter is the co-author of numerous academic journal articles and several well-known finance books including, Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006); Trends in Quantitative Finance (CFA Research Institute, 2006); Robust Portfolio Management and Optimization (Wiley, 2007); and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010).
Petter is a frequent speaker, panelist and moderator at academic and industry conferences and events. He is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Financial Data Science (JFDS), Journal of Investment Strategies (JoIS), and Journal of Portfolio Management (JPM). Petter is an Advisory Board Member of Alternative Data Group (ADG), AISignals and Operations in Trading (Aisot), Betterment (one of the largest robo-advisors) and Volatility and Risk Institute at NYU Stern. He is also on the Board of Directors of the International Association for Quantitative Finance (IAQF) and Scientific Advisory Board Member of the Artificial Intelligence Finance Institute (AIFI).
As an advisory board member, consultant, and expert witness, Petter has provided services in areas including alternative data, data science, econometrics, forecasting models, high frequency trading, machine learning, portfolio optimization with transaction costs, quantitative and systematic trading, risk management, robo-advisory, smart beta strategies, trading strategies, transaction costs, and tax-aware investing.
He holds a Ph.D. in Mathematics from Yale University; an M.Phil. in Applied Mathematics from the Royal Institute of Technology, Stockholm, Sweden; and an M.S. in Mathematics from ETH Zurich, Switzerland.
More Research from Petter Kolm
Dr. Kolm has published numerous articles on Portfolio Management over the years, here are some of his most recent
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction
The Journal of Portfolio Management, Quantitative Special Issue 2021
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management
The Journal of Portfolio Management, Investment Models 2021
Alternative Data in Investment Management: Usage, Challenges, and Valuation
The Journal of Financial Data Science, Fall 2021
Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away
The Journal of Wealth Management, Winter 2021
Popular quantitative research from PMR
Interpretable, Transparent, and Auditable Machine Learning: An Alternative to Factor Investing
Daniel Philps, David Tilles and Timothy Law
The Journal of Financial Data Science, Fall 2021
The Myth of Diversification Reconsidered
William Kinlaw, Mark Kritzman, Sébastien Page and David Turkington
The Journal of Portfolio Management, August 2021
Volatility Targeting: It’s Complicated!
George Mylnikov
The Journal of Portfolio Management, August 2021
Machine Learning for Active Portfolio Management
Söhnke M. Bartram, Jürgen Branke, Giuliano De Rossi and Mehrshad Motahari
The Journal of Financial Data Science, Summer 2021