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Harry Max Markowitz Edit Profile

economist , educator

Harry Max MARKOWITZ, economist in the field of Econ-

omics of Uncertainty and Information; Economic Capacity; Mathematical Methods and Models. Cowles Commission Fellow; United States Social Science Research Council, United Kingdom or United States of America Fellow; Fellow, Econometric Society; Board of Directors, Institute, Institution Management Sciences; President, American Finance Association.

Background

MARKOWITZ, Harry Max was born in 1927 in Chicago, Illinois, United States of America.

Education

BPh (Liberal Arts), Master of Arts, Doctor of Philosophy University Chicago, 1947, 1950, 1954.

Career

Research Association, Rand Corporation, 1952-1960, 1961-1963. Consultant, General Electric Corporation, 1960-1961. Chairman Board, Technical Director, Consolidated Analysis Centers Incorporated, 1963-1968.

Professor Finance, University of California, Los Angeles, Calif., United States of America,

9. President, Arbitrage Management Company, 1969-1972. Consultant, 1972-1974.

Professor Finance, Wharton School, University Pennsylvania, 1972-1974. Research Staff, IBM Corporation, 1974-1983. Adjunct Professor Finance, Rutgers University,

2.

Marvin Speiser Distinguished Professor Economics and Finance, Rutgers University.

Achievements

  • Development of SIMSCRIPT, a high-level programming language used in simulation

Works

Views

A principal professional interest of mine has been the theory of the rational behaviour under uncertainty in general and portfolio theory in particular. Contributions to the latter include: the concept of portfolio selection as distinguished from security selection, and meanvariance

efficiency as a criterion for portfolio selection (1952). The ‘critical line’ algorithm for finding all efficient portfolios, without groping through any inefficient portfolios (1956).

And the reconciliation of single-period mean-variance analysis with many-period utility analysis under uncertainty (1959. Supplemented later with Levy and Kroll). Portfolio theory was used by Tobin, Sharpe, Lintner and Mossin in the widely cited Capital Asset Pricing Model.

Problems of portfolio theory yielded to analytic methods.

Other areas, such as production control, required simulation analysis to evaluate alternatives subject to randomness and uncertainty. Originally, complex simulations took excessively long to program using conventional programming languages. With Hausner and Karr, I designed and helped develop the SIMSCRIPT programming language which reduces this time severalfold.

The latest SIMSCRIPT is still widely used.

Business decision-making requires data, including access to data which runs business operations. With Malhotra and Pazel, I designed and helped develop the EAS-E database and business system programming language: efficient enough to support day-to-day operations, yet capable of satisfying advanced analysis needs. EAS-E is based on the entity-attribute-set view of system description originally developed for SIMSCRIPT.

Other research contributions include: models of economic capabilities based on a ‘process analysis’ approach as opposed to the interindustry hypothesis (with A. Manne and others).

And a technique for inverting extremely large but ‘sparse’ matrices, currently used in modern linear programming codes.

Membership

  • Fellow: American Academy Arts & Scis.

  • Econometric Society; American Fin. Association

Connections

father:
Morris

mother:
Mildred