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."
The full press release is available here.
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