Richard Roll, distinguished professor and the Joel Fried Chair in Applied Finance, is one of three winners of the Bernstein Fabozzi/Jacobs Levy Awards. The awards are made by the Journal of Portfolio Management and named after Peter Bernstein, who founded the journal; Frank Fabozzi, editor; and Jacobs Levy Equity Management, which finances the annual prizes. Roll will receive $2,500 for “Volatility, Correlation, and Diversification in a Multi-Factor World,” which tied in a vote by subscribers for best article in 2013 in the Journal of Portfolio Management.
It examines “the importance of diversifying across factor sensitivities and describes a method for estimating factor sensitivities for every asset,” according a statement about the awards.
