Contest: Post-Modern Portfolio Theory

Second Annual Contest for Best Research on Post-Modern Portfolio Theory: Uniting the Real Economy with Portfolio & Investment Theory.

The Investor Responsibility Research Center Institute (IRRCi) is accepting submissions for its second annual competition for research that examines the interaction of the real economy with investment theory. Two papers – one academic and one practitioner – each will receive the “2013 IRRC Institute Research Award” along with a $10,000 award.  A blue-ribbon panel of renowned judges with broad finance and investment experience will carefully review submissions and select two winning papers.

Learn more about the award process, submission guidelines, and calendar here.

Award submissions are due online by Friday, November 30, 2012, and winners will be notified and announced by February 2013. Submissions may be an original work created specifically for the IRRC Institute Research Award, or relevant unpublished papers, or papers that have been published after January 1, 2012. Winning papers will be published by the IRRC Institute and submitted to the Social Science Research Network for publication. The IRRC Institute also will distribute the winning papers to more than 5,000 individuals interested in the organization’s research. Full conditions for submission are posted on the IRRCi awards page.

The panel of judges includes:

  • Mark Anson, Managing Partner & Chief Investment Officer, Oak Hill Investment Management
  • Robert Arnott, Chairman, Research Affiliates
  • Collette Chilton, Chief Investment Officer, Williams College
  • James Hawley, Professor & Director, Elfenworks Center for Fiduciary Capitalism, Saint Mary’s College of California
  • Bill Miller, Chairman, Legg Mason Capital Management

The competition builds on this year’s inaugural award.  The 2012 award recipients include:

  • Steve Lydenberg received the practitioner award and $10,000 for research on fiduciary obligation (Reason, Rationality and Fiduciary Duty). A 30-year veteran of the asset management industry, Lydenberg is the founding director of the Initiative for Responsible Investment at the Hauser Center for Nonprofit Organizations at Harvard University and partner with Strategic Vision for Domini Social Investments. The research examines the benefits of fiduciaries’ use of thought termed “reasonable” as opposed to “rational” in making investment decisions.
  • Professor Menachem Brenner and Dr.Yehuda Izhakian at New York University the Stern School of Business received the academic award and $10,000 for research about how stock prices are impacted by ambiguity, the unknown probabilities that generate risk (Asset Pricing and Ambiguity: Empirical Evidence).

Modern Portfolio Theory has dominated investment theory for a half century. That has increased the focus on security selection, portfolio construction, and other financial issues rather than attention on the real economy and investing. Simultaneously, the growing importance of the private sector relative to the public sector in the real economy has increased scrutiny of private sector behavior and economic activity, leading to the rise of a ‘responsible investing’ movement. Yet, a significant focus of that scrutiny is normative. That is, the private sector entity ‘should’ act in a certain manner with minimal attention on portfolio and investment theory. Thus, the IRRC Institute Award encourages new research integrating analysis of private sector behavior with investment theory.

See information regarding the award process, submission guidelines and calendar, the award submission form, a Fact Sheet and Frequently Asked Questions. Biographies of the judges.

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One Response to Contest: Post-Modern Portfolio Theory

  1. James McRitchie August 8, 2012 at 7:49 am #

    For examples of the types of papers that might be entered, see Modern portfolio theory, risk and fiduciary duty at http://www.top1000funds.com/analysis/2012/08/08/modern-portfolio-theory-risk-and-fiduciary-duty/

    “there is a growing recognition that risk management for pension funds extends well beyond that which is captured by market benchmarks, extending to market integrity, systemic risks, governance risks, advisor risks and the like.”

    …considering ESG factors when making investment decisions is compatible with trustees’ duty of care, as it allows them to evaluate sources of risk that would otherwise be overlooked.

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