Harry Markowitz
| Harry Markowitz | |
|---|---|
| Born |
August 24, 1927 Chicago, Illinois, USA |
| Nationality | United States |
| Institution | Harry Markowitz Company Rady School of Management at the University of California, San Diego Baruch College RAND Corporation Cowles Commission |
| Field | Financial economics |
| School or tradition |
Chicago School of Economics |
| Alma mater | University of Chicago |
| Doctoral advisor |
Milton Friedman Jacob Marschak |
| Influences |
Tjalling Koopmans Leonard Savage |
| Contributions |
Modern portfolio theory Efficient/ Markowitz Frontier Sparse Matrix Methods SIMSCRIPT |
| Awards |
John von Neumann Theory Prize (1989) The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (1990) |
| Information at IDEAS / RePEc | |
Harry Max Markowitz (born August 24, 1927) is an American economist, and a recipient of the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.
Markowitz is a professor of finance at the Rady School of Management at the University of California, San Diego (UCSD). He is best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, return, correlation and diversification on probable investment portfolio returns.
Harry Markowitz was born to a Jewish family, the son of Morris and Mildred Markowitz. During high school, Markowitz developed 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 specialize 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 for Research in Economics, which was in Chicago at the time.
Markowitz chose to apply mathematics to the analysis of the 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 favorite 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 led to the development of his seminal theory of portfolio allocation under uncertainty, published in 1952 by the Journal of Finance.
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