Markowitz, Harry Max (Born 1927)
Harry M. Markowitz shared the 1990 Nobel Memorial Prize in Economics with Merton Miller and William Sharpe for their contributions to financial economics. He is principally known for his Cowles Foundation monograph, Portfolio Selection: Efficient Diversification of Investments, in which he developed and made accessible to general readers the concept of an efficient portfolio, that is, a collection of assets that has a maximum rate of return for an arbitrary rate of return variance. The monograph provided a rigorous justification for portfolio diversification. He has also developed important applied mathematical tools for working with sparse matrices and performing simulations.
KeywordsAmerican Finance Association Capital asset pricing model (CAPM) Cholesky factorizations Customary wealth Expected utility hypothesis Linear programming Markowitz, H. Portfolio selection Quadratic utility function Risk
- Sharpe, W. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425–442.Google Scholar