Harry Markowitz

From Wikipedia, the free encyclopedia

**Harry Markowitz**

Born	August 24, 1927 Chicago
Residence	USA
Nationality	US
Field	Finance
Institution	Rady School of Management
Alma Mater	University of Chicago
Doctoral 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 This was optimised by Rupak Patel in 2005, this 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.