Harry Markowitz


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Harry Markowitz

One of the first economists to apply mathematics to the operations of the stock market. A student of the Chicago School, he theorized that every rational investor, at a given level of risk, will accept only the largest expected return. This led him to develop Modern, or Markowitz, Portfolio Theory, which attempted to account for risk and expected return mathematically to help the investor find a portfolio with the maximum return for the minimum about of risk. A Markowitz efficient porfolio represented just that: the most expected return at a given amount of risk (excluding zero risk, though later economists explored zero-risk investments in the context of Markowitz's work). He first explored this theory in an article published in 1952 and received the Nobel prize for economics for his work in 1990. See also: Homogenous expectations assumption, Markowitz efficient set of portfolios.
References in periodicals archive ?
Harry Markowitz received the Nobel Prize in Economic Sciences for his work on investment risk and return, and is recognized as the father of modern portfolio theory.
Harry Markowitz won a 1990 Nobel Prize in economics for efficiently passing the buck--make that bucks.
A half a century ago, economist Harry Markowitz came up with something called modern portfolio theory, which said it was possible to model and compare investments and find the optimum mix of assets at a prescribed level of risk.
In an article entitled 'De Finettit Scoops Markowitz', Nobel laureate Harry Markowitz (2006) acknowledges de Finetti's priority in using mean variance analysis and credits de Finetti with solving a special case of the global optimality conditions in quadratic programming.
It originated in the 1950s in a series of papers by Harry Markowitz of the University of Chicago.
(2009) Harry Markowitz: Selected Works, World Scientific Publishing Co.
Picerno (editor, The Beta Investment Report) asks whether we have learned anything since the introduction of modern portfolio theory (MPT) in a 1952 journal article by Harry Markowitz. His response is "no" and "yes." While financial economists are still a long way from solving the investment risk-management challenge and the perfect asset allocation rebalancing strategy is a myth, he offers investors in today's economy advice based on the latest developments in MPT.
Thus, Robert Merton, William Sharpe, and Harry Markowitz, all major figures in the first volume, reappear in the sequel.
La teoria basica de seleccion de portafolios fue desarrollada inicialmente por el Premio Nobel Harry Markowitz en 1952, basado en la nocion "fundamentalista" sobre expectativas futuras.
Though they admit that this may be true in a traditional portfolio, they explained that in 1952 Harry Markowitz developed the theory of portfolio choice which proved that adding non-correlated assets which move independently from each other to a portfolio increases profit potential and reduces risk.
El procer de la diversificacion fue Harry Markowitz y su Teoria Moderna de Portafolios, que permite a los inversionistas racionales optimizar sus carteras por medio de algunos conceptos como "fronteras eficientes", y coeficientes "beta" y "alfa", reunidos en un modelo que todos los que estudian finanzas conocen como la palma de su mano: Capital Asset Pricing Model o CAPM.
And if you can quantify this adage to prove that 90% of investment success is down to sound basket management of eggs, as Harry Markowitz did, you can win a Nobel Prize in Economics (See Putting A Portfolio Together, J@pan Inc Issue 70).

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