Dr. Harry Markowitz

Author & Nobel Laureate

Harry Markowitz is an influential economist at the Rady School of Management at the University of California, San Diego. 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. In 1955 he received a PhD from the University of Chicago with a thesis on portfolio theory. Markowitz chose to apply mathematics to the analysis of the stock market as the topic for his dissertation. This lead to the development of his seminal theory of portfolio allocation under uncertainty, published in 1952 by the Journal of Finance[.The topic was so novel that, while Markowitz was defending his dissertation, Milton Friedman jokingly argued that portfolio theory was not economics. Markowitz won the Nobel Prize in Economics in 1990 while a professor of finance at Baruch College of the City University of New York.

Education:
University of Chicago, PhD. BA, MA

Awards and Honors:
Awarded the Nobel Prize in Economics, 1990.

Notable:
The Markowitz Efficient Portfolio is 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.

Further Reading:
The Theory and Practice of Investment Management, Text book
"Portfolio Selection". Journal of Finance, Markowitz, Harry M. (1952)
"The optimization of a quadratic function subject to linear constraints". Naval Research Logistics, Markowitz, Harry M. (1956).
Portfolio Selection: Efficient Diversification of Investments, Markowitz, Harry M. (1959).