Harry Markowitz (1927-2023)

 Harry Markowitz, who invented modern portfolio theory, and did much beside, has died.

Here's his NYT obituary, which was apparently prepared long in advance.

Harry Markowitz, Nobel-Winning Pioneer of Modern Portfolio Theory, Dies at 95. He overturned the traditional approach to buying stocks by examining the relationship between risk and reward. By Robert D. Hershey Jr.

“I’m not a one-shot Nobel laureate — only doing one thing,” Dr. Markowitz said in an interview for this obituary in 2014. Although he was 87 at the time, he was embarked on a monumental analysis of securities risk and return."

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PORTFOLIO SELECTION, by Harry Markowitz, The Journal of Finance Volume 7, Issue 1 p. 77-91 First published: March 1952  https://doi.org/10.1111/j.1540-6261.1952.tb01525.x

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Here's the beginning of the 1990 Nobel Prize press release:

16 October 1990

THIS YEAR’S LAUREATES ARE PIONEERS IN THE THEORY OF FINANCIAL ECONOMICS AND CORPORATE FINANCE

The Royal Swedish Academy of Sciences has decided to award the 1990 Alfred Nobel Memorial Prize in Economic Sciences with one third each, to

Professor Harry Markowitz, City University of New York, USA,
Professor Merton Miller, University of Chicago, USA,
Professor William Sharpe, Stanford University, USA,

for their pioneering work in the theory of financial economics.

Harry Markowitz is awarded the Prize for having developed the theory of portfolio choice;
William Sharpe, for his contributions to the theory of price formation for financial assets, the so-called, Capital Asset Pricing Model (CAPM); and
Merton Miller, for his fundamental contributions to the theory of corporate finance.

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Here's the citation for the 1989 von Neumann theory prize in operations research:

"1989 John von Neumann Theory Prize:  

"Harry M. Markowitz received the 1989 John von Neumann Theory Prize. Dr. Markowitz, presenter Ellis Johnson noted, contributed ground-breaking work in three areas: portfolio selection, mathematical programming, and simulation.

"Harry Markowitz is the Marvin Speiser Distinguished Professor of Finance and Economics at Baruch College, NYC. He developed the portfolio selection model in his Ph.D. thesis at the University of Chicago. First published in 1952, today his model is one of the most widely used quantitative tools for investment analysis.

"During the late 50s Markowitz worked on mathematical programming at the RAND Corp. and also did his ground-breaking work on factoring bases and maintaining sparsity in the course of solving linear programs, in effect introducing the triangularization or LU factorization in place of inversion of the basis. His selection criterion for reducing fill-in when forming basis factors is the well-known Markowitz criterion and is still used in state-of-the-art codes for both LU and Cholesky factorizations. Markowitz's third main area of activity involved codifying the underlying notions of simulation by defining a world view composed of entities having attributes and belonging to sets that have defined relationships with each other. The state of the world changes through events, which are triggered by time. Based on this, in the 60s he developed a high-level simulation language, SIMSCRIPT, and in the 80s has collaborated with IBM researchers to develop EAS-E, an integrated data base, modeling and applications development language.

Dr. Markowitz told OR/MS Today that the award was a great honor and a reflection of the influence of von Neumann on portfolio theory."