Journal Article10.1016/j.ijforecast.2023.07.004
Harry Markowitz: An appreciation
John B. Guerard
2
TL;DR: Harry Markowitz passed away in 2023, leaving behind his groundbreaking Portfolio Theory.
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Abstract: Harry Markowitz passed on June 22, 2023; some four years short of reaching 100 years old. Dr. Markowitz was not a traditional economist. That fact was well- established and documented from his thesis defense at the University of Chicago. When Milton Friedman uttered lines to the effect that Harry’s thesis has nothing wrong with it, but is not an economics dissertation, Dr. Friedman applied a very narrow definition of economics. Harry is acknowledged as a (the) creator of Portfolio Theory. His dissertation was its genesis.
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Citations
Seasonal affective disorder and currency markets
J. S. Arabadjis,Michael Melvin,Robert L. Savage,John O. Velis +3 more
TL;DR: This study examines the impact of seasonal affective disorder (SAD) on currency markets, finding that investors become more risk-averse in fall and more risk-taking in spring/summer, influencing currency hedging portfolios and returns, with a SAD-inspired portfolio exhibiting decent positive risk-adjusted performance.
Harry Markowitz, the Cowles Commission, and Portfolio Theory
Robert W. Dimand
TL;DR: Harry Markowitz's portfolio theory was developed at the Cowles Commission, where he was influenced by Tjalling Koopmans's activity analysis and later impacted James Tobin's work on economic equilibrium and monetary economics.
References
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Edwin J. Elton
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TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
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Portfolio Theory and Capital Markets
William F. Sharpe
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TL;DR: McGraw-Hill as discussed by the authors published a new edition of the classic portfolio theory and capital management book, Portfolio Theory and Capital Management, with a new foreword that places Dr. Sharpe's synthesis of portfolio and capital markets theories into today's financial environment, while his rules for intelligent selection of investments tinder conditions of risk remain as fresh today as in 1970.
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The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
TL;DR: The Improving Portfolio Performance With Quantitative Models (IPPMQM) conference as mentioned in this paper was the first conference devoted to quantitative models for portfolio performance improvement, which was held in 1989.
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The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
Albert E. Beaton,John W. Tukey +1 more
TL;DR: The idea of fitting polynomials to equally-spaced data was introduced in this article, in which the equalspacing is theoretically precise and the data is accurate to many decimal places, and a hard look at such examples forces us to reexamine our thinking on such diverse issues as: How to formulate such problems, the use of robust/resistant techniques in polynomial regression, which coordinates to use and why, choices in stopping a fit, and improved ways to describe our answers.
1K
Efficient market hypothesis and forecasting
TL;DR: The efficient market hypothesis gives rise to forecasting tests that mirror those adopted when testing the optimality of a forecast in the context of a given information set, but there are also important differences arising from the fact that market efficiency tests rely on establishing profitable trading opportunities in real time.
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