Harry Markowitz

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Harry Markowitz
Born
Harry Max Markowitz

(1927-08-24)August 24, 1927
The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (1990)
Information at IDEAS / RePEc

Harry Max Markowitz (August 24, 1927 – June 22, 2023) was an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.

Markowitz was a professor of finance at the

return, correlation and diversification
on probable investment portfolio returns.

Biography

Harry Markowitz was born to a

Cowles Commission for Research in Economics, which was in Chicago at the time. He completed his A.M. in Economics from the university in 1950.[3]

Markowitz chose to apply mathematics to the analysis of the

Journal of Finance.[4]

In 1952, Harry Markowitz went to work for the

critical line algorithm for the identification of the optimal mean-variance portfolios, relying on what was later named the Markowitz frontier. In 1954, he received a PhD in Economics from the University of Chicago[3] with a thesis on the portfolio theory. The topic was so novel that, while Markowitz was defending his dissertation, Milton Friedman argued his contribution was not economics.[5] During 1955–1956 Markowitz spent a year at the Cowles Foundation,[2] which had moved to Yale University, at the invitation of James Tobin. He published the critical line algorithm in a 1956 paper and used this time at the foundation to write a book on portfolio allocation which was published in 1959.[6]

Markowitz won the

INFORMS) for his contributions in the theory of three fields: portfolio theory; sparse matrix methods; and simulation language programming (SIMSCRIPT). Sparse matrix methods are now widely used to solve very large systems of simultaneous equations whose coefficients are mostly zero. SIMSCRIPT has been widely used to program computer simulations of manufacturing, transportation, and computer systems as well as war games. SIMSCRIPT (I) included the Buddy memory allocation
method, which was also developed by Markowitz. He was elected to the 2002 class of Fellows of the Institute for Operations Research and the Management Sciences.[7]

CACI

The company that would become

CACI International was founded by Herb Karr and Harry Markowitz on July 17, 1962, as California Analysis Center, Inc. They helped develop SIMSCRIPT, the first simulation programming language, at RAND and after it was released to the public domain, CACI was founded to provide support and training for SIMSCRIPT.[8]

In 1968, Markowitz joined Arbitrage Management company founded by Michael Goodkin. Working with Paul Samuelson and Robert Merton he created a hedge fund that represents the first known attempt at computerized arbitrage trading. He took over as chief executive in 1970. After a successful run as a private hedge fund, AMC was sold to Stuart & Co. in 1971. A year later, Markowitz left the company.[9]

Years later, he was involved with CACI's

Object-oriented features.[10]

Post-CACI

Markowitz divided his time between teaching (he was an adjunct professor at the Rady School of Management at the University of California at San Diego, UCSD); video casting lectures; and consulting (out of his Harry Markowitz Company offices). He served on the Advisory Board of SkyView Investment Advisors, a traditional and alternative investment advisory firm.

Research Affiliates; on the Advisory Board of Mark T. Hebner's Irvine, California and internet based wealth management and taxes firm, Index Fund Advisors; and as an advisor to the Investment Committee of 1st Global, a Dallas, Texas-based wealth management and investment advisory firm. Markowitz advised and served on the board of ProbabilityManagement.org, a 501(c)(3) non-profit that aims "to reshape the communication and calculation of uncertainty."[12]

Markowitz was co-founder and Chief Architect of GuidedChoice, a 401(k) managed accounts provider and investment advisor.[13] Markowitz's more recent work included designing the backbone software analytics for the GuidedChoice investment solution and heading the GuidedChoice Investment Committee. He was actively involved in designing the next step in the retirement process: assisting retirees with wealth distribution through GuidedSpending.

Markowitz died from pneumonia and sepsis, in

San Diego, California, on June 22, 2023, at the age of 95.[14]

Research

A Markowitz-efficient portfolio is one where diversification cannot 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. In the same line, Markowitz was part of the Editorial Board of AESTIMATIO,[15] the IEB International Journal of Finance.[16]

Selected publications

See also

References

  1. ^ Jr, Robert D. Hershey (June 25, 2023). "Harry Markowitz, Nobel-Winning Pioneer of Modern Portfolio Theory, Dies at 95". The New York Times.
  2. ^ a b Harry M. Markowitz – Autobiography, The Nobel Prizes 1990, Editor Tore Frängsmyr, [Nobel Foundation], Stockholm, 1991
  3. ^ a b c "Curriculum Vitae (Harry M. Markowitz)". hmarkowitz.com. Retrieved December 12, 2017.
  4. JSTOR 2975974
    .
  5. ^ Harry M. Markowitz – Nobel Prize Lecture: Foundations of Portfolio Theory, December 7, 1990 (PDF format)
  6. ISBN 978-1-55786-108-5
    )
  7. ^ Fellows: Alphabetical List, Institute for Operations Research and the Management Sciences, archived from the original on May 10, 2019, retrieved October 9, 2019
  8. ^ William G. Shepherd Jr. (September 1988). "Market Value - PCs on Wall Street". PC Computing. pp. 150–157.
  9. ^ Goodkin, Michael. The Wrong Answer Faster: The Inside Story of Making the Machine that Trades Trillions. John Wiley & Sons, 2012
  10. ISBN 978-9814470216
    . I told Ana Marjanski, who headed the SIMSCRIPT III project, that SIMSCRIPT already has entities, attributes plus sets. She explained that the clients want object ...
  11. ^ "Harry Markowitz: An Appreciation Part II". July 11, 2023. Retrieved September 7, 2023.
  12. ^ "Probability Management".
  13. ^ GuidedChoice, "Harry Markowitz's Modern Portfolio Theory: The Efficient Frontier"
  14. ^ Jr, Robert D. Hershey (June 25, 2023). "Harry Markowitz, Nobel-Winning Pioneer of Modern Portfolio Theory, Dies at 95". The New York Times – via NYTimes.com.
  15. ^ "Editorial Board of AESTIMATIO - IEB Instituto de Estudios Bursátiles".
  16. ^ "AESTIMATIO, the IEB International Journal of Finance".

External links

Wikiquote has quotations related to Harry Markowitz.
Awards
Preceded by
Merton H. Miller, William F. Sharpe
 		Succeeded by
Ronald H. Coase
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