The prize committee of Inquire Europe and UK decided to award the prize for the best paper presented at the Joint Spring Seminar 2025 to Theis Ingerslev Jensen (Yale University) for his presentation entitled ”Machine Learning and the Implementable Efficient Frontier”
Theis Ingerslev Jensen is an Assistant Professor of Finance at the Yale School of Management. He earned his Ph.D. in Financial Economics from Copenhagen Business School. His research focuses on empirical asset pricing, with particular interest in novel data sets and subjective expectations, often using advanced statistical methods and machine learning.
Theis Ingerslev Jensen wrote the paper with his co-authors Bryan Kelly (Yale School of Management), Semyon Malamud (Swiss Finance Institute), and Lasse Heje Pedersen (Copenhagen Business School)
We congratulate our winner, and we are delighted this paper was submitted for presentation at the Inquire Europe seminar. Dr. Jensen’s presentation stood out for its innovative and highly relevant approach to a pressing problem in asset management: the disconnect between return forecasting and practical portfolio implementation. His research introduces the concept of the “implementable efficient frontier”—a realistic benchmark that incorporates transaction costs and market frictions, providing investors with feasible, cost-aware strategies.The Prize Committee recognized the work for its originality, methodological rigor, and practical value. By proposing Portfolio ML, a machine learning framework that directly estimates portfolio weights based on utility maximization under trading frictions, the research moves beyond traditional return prediction models. It offers actionable insights for institutional investors navigating complex and dynamic market environments. The presentation sparked significant engagement from seminar participants, underscoring the timeliness and impact of the findings.
We congratulate Theis Ingerslev Jensen on this well-deserved recognition.
Inquire Europe members can download the paper at the members only area of this website under the section previous seminars / Joint Spring 2025.
Click here to read the summary of the presentation of Theis Ingerslev Jensen.
Theis Ingerslev Jensen
“I am truly honored to receive the award from Inquire Europe and Inquire UK. I had a wonderful time at the conference, and was impressed by the quality of the presentations, and the many insightful questions. I particularly liked the sharing of knowledge between academics and practitioners, and I got a lot of useful inputs for my own work. I look forward to attending future Inquire seminars.”