The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Markowitz, Harry Max (Born 1927)

  • Donald D. Hester
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2803

Abstract

Harry M. Markowitz shared the 1990 Nobel Memorial Prize in Economics with Merton Miller and William Sharpe for their contributions to financial economics. He is principally known for his Cowles Foundation monograph, Portfolio Selection: Efficient Diversification of Investments, in which he developed and made accessible to general readers the concept of an efficient portfolio, that is, a collection of assets that has a maximum rate of return for an arbitrary rate of return variance. The monograph provided a rigorous justification for portfolio diversification. He has also developed important applied mathematical tools for working with sparse matrices and performing simulations.

Keywords

American Finance Association Capital asset pricing model (CAPM) Cholesky factorizations Customary wealth Expected utility hypothesis Linear programming Markowitz, H. Portfolio selection Quadratic utility function Risk 

JEL Classifications

B31 
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Bibliography

  1. Friedman, M., and L. Savage. 1948. The utility analysis of choices involving risk. Journal of Political Economy 56: 279–304.CrossRefGoogle Scholar
  2. Sharpe, W. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19: 425–442.Google Scholar
  3. Tobin, J. 1958. Liquidity preference as behavior towards risk. Review of Economic Studies 25: 65–86.CrossRefGoogle Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Donald D. Hester
    • 1
  1. 1.