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2011 | OriginalPaper | Buchkapitel

35. Harry Markowitz

verfasst von : John B. Guerard Jr

Erschienen in: Profiles in Operations Research

Verlag: Springer US

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Abstract

A few researchers, as aresult of their training, experiences, and possibly, their inherent curiosity, work in a number of somewhat unrelated fields and discover seminal and far-reaching results in each of those fields. Harry Markowitz has proved to be such a researcher. He has made major contributions to diverse areas of Operations Research (OR), as well as to the fields of economics and finance. His research contributions in the latter fields include the theory and practice of financial investments and stock portfolios, and applying this research to the money-on-the-line real-world of investments. His OR contributions range across the theory and application of linear programming (LP), quadratic programming, computer simulation, and OR modeling.

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Vorheriges Kapitel Philip Starr Wolfe

Nächstes Kapitel John D. C. Little

Bloch M. Guerard J Jr, Markowitz H, Todd P, Xu GL (1993) A comparison of some aspects of the U.S. and Japanese equity markets. Jpn World Econ 5(1):3–26CrossRef

Brealey R (1991) Harry M. Markowitz’s contribution to financial economics. Scand J Econ 93(1):7–17CrossRef

Dantzig G (1951) Maximization of a linear function of variables subject to linear inequalities. In: Koopmans TC (ed) Activity analysis of production and allocation: proceedings of a conference. Wiley, New York, NY, pp 339–347

Dantzig G, Orden A, Wolfe P (1954) The generalized simplex method for minimizing a linear form under linear inequality constraints. RAND Corporation Report RM-1264, Santa Monica, CA

EAS-E.ORG (2009) www.eas-e.org. Accessed 3 Feb 2009

Frank M, Wolfe P (1956) An algorithm for quadratic programming. Nav Res Logistics Q 3(1 and 2):95–110CrossRef

Graham B, Dodd D (1934) Security analysis: principles and technique. McGraw-Hill, New York, NY

Jacobs B, Levy K, Markowitz HM (2004) Financial market simulation in the 21st century. J Portfolio Manage 30 (30th anniversary issue):142–151CrossRef

Johnson L (1986) Oral history of Harry M. Markowitz. Computer History Museum. CHM Reference number X4804.2008, Mountain View, CA. http://archive.computerhistory.org/resources/text/Oral_History/Markowitz_Harry/102658332.05.01.acc.pdf. Accessed 14 Mar 2009

Lemke C (1965) Bimatrix equilibrium points and mathematical programming. Manage Sci 11(7):681–689CrossRef

Malhotra A, Markowitz HM, Pazel DP (1984) EAS-E: an integrated approach to application development. ACM Trans Database Syst 8(4):515–542CrossRef

Manne A, Markowitz HM (1963) Studies in process analysis: economy-wide production capabilities. Wiley, New York, NY

Markowitz HM (1952a) Portfolio selection. J Finance 7(1):77–91CrossRef

Markowitz HM (1952b) The utility of wealth. J Pol Economy 60(2):151–158CrossRef

Markowitz HM (1956) The optimization of a quadratic function subject to linear constraints. Nav Res Logistics Q 3(1 and 2):111–133CrossRef

Markowitz HM (1957) The elimination form of the inverse and its application to linear programming. Manage Sci 3(3):255–269CrossRef

Markowitz HM (1959) Portfolio selection: efficient diversification of investments. Cowles Foundation for Research in Economics Monograph 16, Yale University, New Haven, CT

Markowitz HM (1970) Portfolio selection: efficient diversification of investments. Wiley, New York, NY

Markowitz HM (1987) Mean-variance analysis in portfolio choice and capital markets. Basil Blackwell, New York, NY

Markowitz HM (1990) Autobiography. http://nobelprize.org/nobel_prizes/economics/laureates/1990/markowitz-autobio.html. Accessed 29 Jan 2009

Markowitz HM (1991) Foundations of portfolio theory. J Finance 46(2):469–477CrossRef

Markowitz HM (1993) Trains of thought. Am Econ 37(1):3–9

Markowitz HM (1999) The early history of portfolio theory: 1600–1960. Financ Anal J 55(4):5–16CrossRef

Markowitz HM (2002) Efficient portfolios, sparse matrices, and entities: a retrospective. Oper Res 50(1):154–160CrossRef

Markowitz HM (2008) Harry Markowitz: selected works. World Scientific, Hackensack, NJ

Markowitz HM (2009) Personal communication

Markowitz HM, Hausner B, Karr H (1963) SIMSCRIPT: a simulation programming language. Prentice-Hall, Englewood Cliffs, NJ

Markowitz HM, Kiviat P, Villanueva R (1969) The SIMSCRIPT II programming language. Prentice Hall, New York, NY

Orchard-Hays W (1984) History of mathematical programming systems. Ann Hist Comput 6(3):296–312CrossRef

Rubinstein M (2002) Markowitz’s “Portfolio Selection”: a fifty-year retrospective. J Finance 57(3):1041–1045CrossRef

Sharpe W (1963) A simplified model for portfolio analysis. Manage Sci 9(2):277–293CrossRef

Sharpe W (1964) Capital asset prices: a theory of market equilibrium under conditions of risk. J Finance 19(3):425–442CrossRef

Sharpe W (1994) The Sharpe Ratio. J Portfolio Manage 21(1):49–58CrossRef

Williams J (1938) The theory of investment value. Harvard University Press, Cambridge, MA

Yost J (2002) An interview with Harry Markowitz. http://special.lib.umn.edu/cbi/oh/pdf.phtml?id=297. Accessed 29 Jan 2009

Titel: Harry Markowitz
verfasst von: John B. Guerard Jr
Verlag: Springer US
Buch: Profiles in Operations Research
Print ISBN: 978-1-4419-6280-5

Electronic ISBN: 978-1-4419-6281-2

Copyright-Jahr: 2011
DOI: https://doi.org/10.1007/978-1-4419-6281-2_35