Journal of Investment Management Recognizes 2025’s Best Papers

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.