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Encyclopedia > Harry Markowitz
Harry Markowitz

Born August 24, 1927
Chicago
Residence USA
Nationality US
Field Finance
Institutions 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. Image File history File links Metadata No higher resolution available. ... is the 236th day of the year (237th in leap years) in the Gregorian calendar. ... Year 1927 (MCMXXVII) was a common year starting on Saturday (link will display full calendar) of the Gregorian calendar. ... Nickname: Motto: Urbs In Horto (Latin: City in a Garden), I Will Location in the Chicago metro area and Illinois Coordinates: , Country United States State Illinois County Cook & DuPage Settled 1770s Incorporated March 4, 1837 Government  - Mayor Richard M. Daley (D) Area  - City  234. ... Image File history File links This is a lossless scalable vector image. ... United States may refer to: Places: United States of America SS United States, the fastest ocean liner ever built. ... Image File history File links This is a lossless scalable vector image. ... This article does not cite any references or sources. ... The Rady School of Management at the University of California, San Diego is a graduate-level business school offering the Master of Business Administration (MBA) degree. ... The University of Chicago is a private university located principally in the Hyde Park neighborhood of Chicago. ... Jacob Marschak (* 23 July 1898 Kiev, Ukraine; † 27 July 1977 Los Angeles, USA) was an American economist of Ukrainian origin. ... Capital Market Line Modern portfolio theory (MPT) proposes how rational investors will use diversification to optimize their portfolios, and how a risky asset should be priced. ... An estimation of the CAPM and the Security Market Line (purple) for the Dow Jones Industrial Average over the last 3 years for monthly data. ... The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel[1] (Swedish: Sveriges Riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), commonly called the Nobel Prize in Economics, or more acurately the Nobel Memorial Prize in Economic Sciences, is a prize awarded each year for outstanding intellectual... is the 236th day of the year (237th in leap years) in the Gregorian calendar. ... Year 1927 (MCMXXVII) was a common year starting on Saturday (link will display full calendar) of the Gregorian calendar. ... Alan Greenspan, former chairman, United States Federal Reserve. ... The Rady School of Management at the University of California, San Diego is a graduate-level business school offering the Master of Business Administration (MBA) degree. ... The University of California, San Diego (popularly known as UCSD, or sometimes UC San Diego) is a public, coeducational research university located in La Jolla, a seaside resort community of San Diego, California. ... Alternate meanings: See RAND (disambiguation) The RAND Corporation is an American think tank first formed to offer research and analysis to the U.S. military. ... The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel[1] (Swedish: Sveriges Riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), commonly called the Nobel Prize in Economics, or more acurately the Nobel Memorial Prize in Economic Sciences, is a prize awarded each year for outstanding intellectual... Year 1990 (MCMXC) was a common year starting on Monday (link displays the 1990 Gregorian calendar). ... Baruch College is a public university and one of the constituent colleges comprising the City University of New York. ... The City University of New York (CUNY; acronym: IPA pronunciation: ), is the public university system of New York City. ...


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. Capital Market Line Modern portfolio theory (MPT) proposes how rational investors will use diversification to optimize their portfolios, and how a risky asset should be priced. ... Lets talk about risk control strategies, anyone with more information and willing to share, please do so. ... Positive linear correlations between 1000 pairs of numbers. ... Diversification in finance involves spreading investments around into many types of investments, including stocks, mutual funds, bonds, and cash. ...


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. An estimation of the CAPM and the Security Market Line (purple) for the Dow Jones Industrial Average over the last 3 years for monthly data. ...


Markowitz also co-edited the textbook The Theory and Practice of Investment Management with Frank J. Fabozzi of Yale School of Management. Frank J. Fabozzi is the Frederick Frank Adjunct Professor of Finance at Yale School of Management. ... The Yale School of Management (also known as Yale SOM) is the graduate business school of Yale University and is located on Hillhouse Avenue in New Haven, Connecticut, USA. Yale SOM offers M.B.A. and Ph. ...


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.


External link

  • Biography on the official Nobel Prize website
Persondata
NAME Markowitz, Harry
ALTERNATIVE NAMES Markowitz, Harry Max
SHORT DESCRIPTION American economist
DATE OF BIRTH August 24, 1927
PLACE OF BIRTH Chicago
DATE OF DEATH
PLACE OF DEATH

  Results from FactBites:
 
'Mean-Variance Analysis in Portfolio Choice and Capital Markets' de Harry M. Markowitz with a chapter and program by ... (3500 words)
Harry Markowitz (1952) revolutionized the field of finance with his seminal Journal of Finance paper "Portfolio Selection." (Interestingly, the paper was the last one in the issue.) In it he argued for the explicit recognition of risk and its quantification in terms of variance.
Markowitz (1959) brought all this material together and discussed at some length the basis for concentrating on the mean (expected value) and variance (or standard deviation) of portfolio return when selecting securities.
Markowitz's concern with the most general class of portfolio selection problems is also reflected in the location of material on models for "economic analysis." Portions of the Capital Asset Pricing Model are first introduced in exercises at the end of Chapter 6, but detailed discussion is deferred until the penultimate chapter.
Carnegie Mellon Press Release: August 15, 2005 (439 words)
Developed by Markowitz in the 1950s, modern portfolio theory proposes that an efficient portfolio relies not on the risk of an individual security and its reward, but on the risk and reward of the entire portfolio.
"Harry Markowitz is a recognized innovator in the field of finance, and we are very fortunate that he could address Carnegie Mellon and the Pittsburgh community," said David Heath, the Orion Hoch Professor of Mathematical Sciences and head of Carnegie Mellon's interdisciplinary Center for Computational Finance, which hosts the Nash Lecture.
Markowitz is a research professor at the University of California at San Diego and president of the Harry Markowitz Company, which helps to extend and apply portfolio theory.
  More results at FactBites »


 

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