Quant Researcher of the Year 2021: Petter Kolm

Petter Kolm, our Program Director and Clinical Professor of Mathematics, was named the ‘PMR Quant Researcher of the Year’ for 2021 by The Journal of Portfolio Management (JPM).

The award recognizes his outstanding contributions to quantitative portfolio theory, particularly in multiperiod Bayesian portfolio optimization, dynamic replication, and hedging. Campbell Harvey, last year’s winner, praised Kolm’s work in using reinforcement learning to solve challenging dynamic optimization problems. Frank Fabozzi, Editor of JPM, highlighted Kolm’s reputation for bridging the gap between academia and practitioners, citing his research with Gordon Ritter on the duality between Black-Litterman optimization and Bayesian regression. Kolm’s numerous contributions, including works like Quantitative Equity Investing (2010) and Trends in Quantitative Finance (2006), were also acknowledged. In response to the award, Kolm expressed honor and emphasized the importance of recent portfolio and risk management developments leveraging cutting-edge techniques from financial machine learning, computational and Bayesian statistics, and dynamic optimization.

Visit this link to read the article announcing this recognition.