Harry Markowitz
From Wikipedia, the free encyclopedia
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| Born | August 24, 1927 Chicago |
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| Residence | USA  |
| Nationality | US |
| Field | Finance |
| Institution | Rady School of Management |
| Alma mater | University of Chicago |
| Academic advisor | Jacob Marschak |
| Known for | Modern portfolio theory Markowitz frontier |
| Notable prizes | Nobel Prize in Economics (1990) |
Harry Max Markowitz (born August 24, 1927) is an influential economist at the Rady School of Management at the University of California, San Diego. Formerly at the RAND Corporation, Markowitz won the Nobel Prize in 1990 while a professor of finance at Baruch College of the City University of New York.
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.
A 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.
[edit] References
- Markowitz, H. M. (1952). Portfolio Selection, Journal of Finance, Vol. 7, Iss. 1, p. 77-91.
- Markowitz, H. M. (1959), Portfolio Selection: Efficient Diversification of Investments,
Wiley, Yale University Press, 1970, Basil Blackwell, 1991.
- Markowitz, H. M. (1987), Mean-Variance Analysis in Portfolio Choice and Capital
Markets, Basil Blackwell, paperback edition, Basil Blackwell, 1990.
[edit] External link
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1976: Friedman | 1977: Ohlin, Meade | 1978: Simon | 1979: Schultz, Lewis | 1980: Klein | 1981: Tobin | 1982: Stigler | 1983: Debreu | 1984: Stone | 1985: Modigliani | 1986: Buchanan | 1987: Solow | 1988: Allais | 1989: Haavelmo | 1990: Markowitz, Miller, Sharpe | 1991: Coase | 1992: Becker | 1993: Fogel, North | 1994: Harsanyi, Nash, Selten | 1995: Lucas | 1996: Mirrlees, Vickrey | 1997: Merton, Scholes | 1998: Sen | 1999: Mundell | 2000: Heckman, McFadden |
