Harry Markowitz
From Wikipedia, the free encyclopedia
Categories: 1927 births | Living people | American economists | City University of New York people | Jewish American scientists | University of Chicago alumni | Fellows of the Econometric Society | John von Neumann Theory Prize winners | Nobel laureates in Economics
Harry Max Markowitz (born August 24, 1927) is an influential economist at the Rady School of Management at the University of California, San Diego. He is best known for his pioneering work in Modern Portfolio Theory, studying the effects of asset risk, correlation and diversification on expected investment portfolio returns.
BiographyHarry Markowitz[1] was born on August 24, 1927 in Chicago, as the child of Morris and Mildred Markowitz. During high school, Markowitz picked up an interest in physics and philosophy, in particular the ideas of David Hume, an interest he continued to follow during his undergraduate years at the University of Chicago. After receiving his B.A., Markowitz decided to continue his studies at the University of Chicago, choosing to specialise in economics. There he had the opportunity to study under important economists, including Milton Friedman, Tjalling Koopmans, Jacob Marschak and Leonard Savage. While still a student, he was invited to become a member of the Cowles Commission, which was in Chicago at the time. Markowitz chose to apply mathematics to the analysis of the stock market as the topic for his dissertation. Jacob Marschak, who was the thesis advisor, encouraged him to pursue the topic, noting that it had also been a favourite interest of Alfred Cowles, the founder of the Cowles Commission. While researching the then current understanding of stock prices, which at the time consisted in the present value model of John Burr Williams, Markowitz realized that the theory lacks an analysis of the impact of risk. This insight lead to the development of his seminal theory of portfolio allocation under uncertainty, published in 1952 by the Journal of Finance[2]. In 1952 Harry Markowitz went to work for the RAND Corporation, where he met George Dantzig. With Dantzig's help, Markowitz started to research optimisation techniques, developing the critical line algorithm for the identifications of the optimal mean-variance portfolios, lying on what was later named the Markowitz frontier. In 1955 he received a PhD from the University of Chicago with a thesis on the portfolio theory. The topic was so novel that, while Markowitz was defending his dissertation, Milton Friedman jokingly argued that portfolio theory was not economics[3]. During 1955-1956 Markowitz spent a year at the Cowles Foundation[1], which had moved to Yale University, at the invitation of James Tobin. He published the critical line algorithm in a 1956 paper and used the time at the foundation to write a book on portfolio allocation which was published in 1959[2]. In 1963, Markowitz invented Buddy memory allocation. Markowitz won the Nobel Prize in Economics in 1990 while a professor of finance at Baruch College of the City University of New York. He currently serves on the advisory panel of Robert D. Arnott's Pasadena, California based investment management firm, Research Affiliates. ResearchA Markowitz Efficient Portfolio is one where no added diversification can lower the portfolio's risk for a given return expectation (alternately, no additional expected return can be gained without increasing the risk of the portfolio). The Markowitz Efficient Frontier is the set of all portfolios that will give the highest expected return for each given level of risk. These concepts of efficiency were essential to the development of the Capital Asset Pricing Model. Markowitz also co-edited the textbook The Theory and Practice of Investment Management with Frank J. Fabozzi of Yale School of Management. Selected publications
Notes and references
External links
ca:Harry Markowitz de:Harry M. Markowitz es:Harry Markowitz fr:Harry Markowitz gd:Harry Markowitz id:Harry Max Markowitz it:Harry Markowitz he:הארי מרקוביץ' nl:Harry Markowitz ja:ハリー・マーコウィッツ pl:Harry Markowitz pt:Harry Max Markowitz ro:Harry Markowitz ru:Марковиц, Гарри fi:Harry Markowitz sv:Harry Markowitz | |||||||||||||||||||||||||||||||||||||||||||||
