William F. Sharpe

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William F. Sharpe
Boston, Massachusetts, U.S.
Alma materUniversity of California, Los Angeles (BA, MA, PhD)
Known forCapital asset pricing model
Sharpe ratio
AwardsNobel Memorial Prize in Economic Sciences (1990)
Scientific career
FieldsEconomics
InstitutionsWilliam F. Sharpe Associates
Stanford University
University of California, Irvine
University of Washington 1961–68
RAND Corporation
Doctoral advisorArmen Alchian
Harry Markowitz (unofficial)
Doctoral studentsHoward Sosin

William Forsyth Sharpe (born June 16, 1934) is an American economist. He is the STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business, and the winner of the 1990 Nobel Memorial Prize in Economic Sciences.

Sharpe was one of the originators of the

binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis
for evaluating the style and performance of investment funds.

Early years

William Sharpe

Academic training

After graduation, in 1956 Sharpe joined the

UCLA under the supervision of Armen Alchian. While searching for a dissertation topic, J. Fred Weston suggested him to ask Harry Markowitz at RAND. Working closely with Markowitz, who in practice "filled a role similar to that of dissertation advisor",[1] Sharpe earned his Ph.D. in 1961 with a thesis on a single factor model of security prices, also including an early version of the security market line
.

Professional career

In 1961 after finishing his graduate studies, Sharpe started teaching at the

Jack Treynor
.

In 1968 Sharpe moved to the

Frank Russell Company, he founded Sharpe-Russell Research, a firm specialized in providing research and consultancy on asset allocation to pension funds and foundations. His 1988 paper, 'Determining a Fund's Effective Asset Mix', established the model later referred to as returns-based style analysis.[7]

Later career

In 1989 he retired from teaching, retaining the position of

Professor Emeritus of Finance at Stanford, choosing to focus on his consulting firm, now named William F. Sharpe Associates. In 1996, he co-founded Financial Engines (NASDAQ: FNGN) with Stanford Professor Joseph Grundfest and Silicon Valley lawyer Craig W. Johnson.[8]
Financial Engines uses technology to implement many of his financial theories in portfolio management.

Today, Financial Engines has over 200 employees and is the leader in automated retirement plan investment advice and management, with more than $200 Billion in managed retirement accounts, providing advice and managed account services to employees in over 1000 major corporations. In March 2018, Financial Engines was acquired for $3 Billion in cash.[9]

Sharpe served as a President of the American Finance Association and he is a trustee of the Economists for Peace and Security. He is also the recipient of a Doctor of Humane Letters, Honoris Causa from DePaul University, a Doctor Honoris Causa from the University of Alicante (Spain), a Doctor Honoris Causa from the University of Vienna and the UCLA Medal, UCLA's highest honor.

Since 2009, Sharpe has been an advocate of "adaptive asset allocation" strategies, which seek to exploit recent market behaviour to optimise asset allocation and thus maximise returns and reduce volatility[10][11]

Selected publications

Papers

  • Sharpe, William F. (1963). "A Simplified Model for Portfolio Analysis". Management Science. 9 (2): 277–93.
    S2CID 55778045
    .
  • Sharpe, William F. (1964). "Capital Asset Prices – A Theory of Market Equilibrium Under Conditions of Risk". Journal of Finance. XIX (3): 425–442.
    JSTOR 2977928
    .

Books

See also

References

  1. ^ a b c William F. Sharpe on Nobelprize.org Edit this at Wikidata, accessed 29 April 2020
  2. ^ Durian, Hal (July 9, 2011). "Poly Highs Class of 1951 Left its Mark". The Press-Enterprise. Retrieved February 9, 2013.
  3. ^ http://www.thetaxibruins.com/alumni/index.php?per_page=100&page=5[permanent dead link]
  4. ^ "The Seven Nobel Laureates of UCLA". newsletter.alumni.ucla.edu.
  5. ^ Sharpe (1964) in Selected publications
  6. .
  7. ^ Sharpe, William F. (December 1988). "Determining a Fund's Effective Asset Mix". Investment Management Review: 59–69.
  8. ^ [1] Concept2Company Ventures
  9. ^ [2] Financial Engines, robo-advice pioneer, to be sold for $3 billion
  10. ^ "FTSE AAAP Calculator". www.ftse.com.
  11. ^ "Sharpe, William F. "Adaptive asset allocation policies." Financial Analysts Journal 66.3 (2010): 45-59" (PDF).

External links

Awards
Preceded by
Merton H. Miller
Succeeded by
Ronald H. Coase