Harry Max Markowitz (August 24, 1927 – June 22, 2023) was an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.

Markowitz was a professor of finance at the Rady School of Management at the University of California, San Diego (UCSD).  He is best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, return, correlation and diversification on probable investment portfolio returns.

Biography
Harry Markowitz was born to a Jewish family, the son of Morris and Mildred Markowitz. During high school, Markowitz developed an interest in physics and philosophy, in particular the ideas of David Hume, an interest he continued to follow during his undergraduate years at the University of Chicago. After receiving his Ph.B. in Liberal Arts, Markowitz decided to continue his studies at the University of Chicago, choosing to specialize in economics. There he had the opportunity to study under important economists, including Milton Friedman, Tjalling Koopmans, Jacob Marschak and Leonard Savage. While still a student, he was invited to become a member of the Cowles Commission for Research in Economics, which was in Chicago at the time. He completed his A.M. in Economics from the university in 1950.

Markowitz chose to apply mathematics to the analysis of the stock market as the topic for his dissertation. Jacob Marschak, who was the thesis advisor, encouraged him to pursue the topic, noting that it had also been a favorite interest of Alfred Cowles, the founder of the Cowles Commission. While researching the then current understanding of stock prices, which at the time consisted in the present value model of John Burr Williams, Markowitz realized that the theory lacks an analysis of the impact of risk. This insight led to the development of his seminal theory of portfolio allocation under uncertainty, published in 1952 by the Journal of Finance.

In 1952, Harry Markowitz went to work for the RAND Corporation, where he met George Dantzig. With Dantzig's help, Markowitz continued to research optimization techniques, further developing the critical line algorithm for the identification of the optimal mean-variance portfolios, relying on what was later named the Markowitz frontier. In 1954, he received a PhD in Economics from the University of Chicago with a thesis on the portfolio theory. The topic was so novel that, while Markowitz was defending his dissertation, Milton Friedman argued his contribution was not economics. During 1955–1956 Markowitz spent a year at the Cowles Foundation, which had moved to Yale University, at the invitation of James Tobin. He published the critical line algorithm in a 1956 paper and used this time at the foundation to write a book on portfolio allocation which was published in 1959.

Markowitz won the Nobel Memorial Prize in Economic Sciences in 1990 while a professor of finance at Baruch College of the City University of New York.  In the preceding year, he received the John von Neumann Theory Prize from the Operations Research Society of America (now Institute for Operations Research and the Management Sciences, INFORMS) for his contributions in the theory of three fields: portfolio theory; sparse matrix methods; and simulation language programming (SIMSCRIPT). Sparse matrix methods are now widely used to solve very large systems of simultaneous equations whose coefficients are mostly zero. SIMSCRIPT has been widely used to program computer simulations of manufacturing, transportation, and computer systems as well as war games. SIMSCRIPT (I) included the Buddy memory allocation method, which was also developed by Markowitz.
He was elected to the 2002 class of Fellows of the Institute for Operations Research and the Management Sciences.

CACI
The company that would become CACI International was founded by Herb Karr and Harry Markowitz on July 17, 1962, as California Analysis Center, Inc.  They helped develop SIMSCRIPT, the first simulation programming language, at RAND and after it was released to the public domain, CACI was founded to provide support and training for SIMSCRIPT.

In 1968, Markowitz joined Arbitrage Management company founded by Michael Goodkin. Working with Paul Samuelson and Robert Merton he created a hedge fund that represents the first known attempt at computerized arbitrage trading. He took over as chief executive in 1970. After a successful run as a private hedge fund, AMC was sold to Stuart & Co. in 1971. A year later, Markowitz left the company.

Years later, he was involved with CACI's SIMSCRIPT addition of Object-oriented features.

Post-CACI
Markowitz divided his time between teaching (he was an adjunct professor at the Rady School of Management at the University of California at San Diego, UCSD); video casting lectures; and consulting (out of his Harry Markowitz Company offices). He served on the Advisory Board of SkyView Investment Advisors, a traditional and alternative investment advisory firm. Markowitz also served on the Investment Committee of LWI Financial Inc. ("Loring Ward"), a San Jose, California-based investment advisor; on the advisory panel of Robert D. Arnott's Newport Beach, California based investment management firm, Research Affiliates; on the Advisory Board of Mark T. Hebner's Irvine, California and internet based wealth management and taxes firm, Index Fund Advisors; and as an advisor to the Investment Committee of 1st Global, a Dallas, Texas-based wealth management and investment advisory firm. Markowitz advised and served on the board of ProbabilityManagement.org, a 501(c)(3) non-profit that aims "to reshape the communication and calculation of uncertainty."

Markowitz was co-founder and Chief Architect of GuidedChoice, a 401(k) managed accounts provider and investment advisor. Markowitz's more recent work included designing the backbone software analytics for the GuidedChoice investment solution and heading the GuidedChoice Investment Committee. He was actively involved in designing the next step in the retirement process: assisting retirees with wealth distribution through GuidedSpending.

Markowitz died from pneumonia and sepsis, in San Diego, California, on June 22, 2023, at the age of 95.

Research
A Markowitz-efficient portfolio is one where diversification cannot lower the portfolio's risk for a given return expectation (alternately, no additional expected return can be gained without increasing the risk of the portfolio). The Markowitz Efficient Frontier is the set of all portfolios that will give the highest expected return for each given level of risk.  These concepts of efficiency were essential to the development of the capital asset pricing model.

Markowitz also co-edited the textbook The Theory and Practice of Investment Management with Frank J. Fabozzi of Yale School of Management. In the same line, Markowitz is part of the Editorial Board of AESTIMATIO, the IEB International Journal of Finance.

Selected publications
 
 
 
  (reprinted by Yale University Press, 1970, ; 2nd ed. Basil Blackwell, 1991, )

See also
 List of economists
 List of Jewish Nobel laureates
 Risk management tools

References

External links

 
 Markowitz: Videos of Interviews by M. Hebner and W. Wellington and Presentations by Markowitz
 The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel, 1990
 
 Banquet Speech, December 10, 1990
 Nobel Prize Lecture: Foundations of Portfolio Theory, December 7, 1990 ( PDF format)
 Oral history interview with Markowitz,  Charles Babbage Institute, University of Minnesota – Markowitz discusses his development of portfolio theory, sparse matrices, and his work at the RAND Corporation and elsewhere on simulation software development (including computer language SIMSCRIPT), modeling, and operations research.
 History of Finance, interviews, The American Finance Association
 Guide to the Harry M. Markowitz Papers 1963, 1965, 1967
 Adjunct Professor of Finance, bio Rady School of Management, University of California at San Diego
 1st Global Engages Dr. Harry M. Markowitz, 1st Global
 
 Markowitz’s Mean-Variance Portfolio Selection with Regime Switching: From Discrete-time Models to Their Continuous-time Limits
 Problems with the Markowitz mean-variance model
 Biography from the Institute for Operations Research and the Management Sciences

1927 births
2023 deaths
Nobel laureates in Economics
American Nobel laureates
Economists from California
Baruch College faculty
University of California, San Diego faculty
Jewish American scientists
University of Chicago alumni
Fellows of the Econometric Society
John von Neumann Theory Prize winners
RAND Corporation people
Jewish American economists
Financial economists
Fellows of the American Academy of Arts and Sciences
Fellows of the Institute for Operations Research and the Management Sciences
Presidents of the American Finance Association
해리 맥스 마코위츠(Harry Max Markowitz, 1927년 8월 24일~2023년 6월 22일)는 미국의 경제학자이다. 캘리포니아 샌디에이고에 위치한 캘리포니아 대학의 래디 매니지먼트 스쿨(Rady School of Management)에 있다. 현대 포트폴리오 이론 분야의 선구적인 업적으로 가장 잘 알려져 있으며 이를 인정 받아 1990년에 노벨 경제학상을 수상했다. 마코위츠의 현대 포트폴리오 이론은 자산 리스크, 상호작용, 다각화 등이 투자 포트폴리로의 기대 수익에 미치는 영향에 대한 연구 결과이다.

학력 
 1943년~1947년: 시카고 대학교(철학사)
 1947년~1950년: 시카고 대학교 대학원(경제학 석사)
 1952년~1954년: 시카고 대학교 대학원(경제학 박사)

생애 
해리 마코위츠는 1927년 8월 24일, 시카고에서 모리스와 밀드레드 마코위츠의 자녀로 태어났다. 고등학교 재학 중에 물리학과 철학에 흥미를 가졌다. 시카고 대학을 다니는 동안에도 데이비드 흄의 사상에 대한 관심은 계속 이어졌다. 인문과학 학사 학위를 받은 후, 마코위츠는 경제학을 전공하기로 결정하고 시카고 대학에서의 연구를 계속해나간다. 그는 밀턴 프리드먼, 찰링 코프만스, 제이코브 마르샤크(Jacob Marschak), 레너드 지미 새비지(Leonard Savage)를 비롯한 저명한 경제학자들 밑에서 연구를 했다. 아직 학생일 동안, 그는 당시 시카고에 있던 카울즈 커미션(Cowles Commission)의 회원으로 초대되었다.

마코위츠는 그의 박사 논문 주제로 주식 시장의 분석을 위한 응용수학을 선택했다. 논문의 조언자였던 제이콥 마샥은 그 주제가 카울즈 커미션의 창립자인 알프레드 카울즈(Alfred Cowles)의 주된 관심사임을 언급하여 마코위츠가 그 주제를 수행하도록 독려했다. 그때 당시의 주식 가격에 대한 이해는 존 버 윌리엄스(John Burr Williams)의 현재 가치 모델로 이루어졌다. 그것을 연구하는 동안, 마코위츠는 이 이론이 리스크의 영향에 대한 분석이 결여되어 있음을 깨달았다. 그는 이러한 통찰로 불확실성 하의 포트폴리오 배분에 관한 독창적인 이론을 개발해냈다. 이 이론은 1952년 저널 오브 파이낸스(Journal of Finance)에 실렸다.

1952년에 마코위츠는 랜드 연구소에 취직했고, 조지 단치히를 만났다. 단치히의 도움으로, 마코위츠는 최적화 기법들을 연구하기 시작했다. 이 연구는 최적 평균-분산 포트폴리오를 찾아내기 위한 크리티컬 라인 알고리즘을 개발하는 것으로써, 이 포트폴리오는 나중에 마코위츠 프런티어(Markowitz frontier) 또는 마코위츠의 효율적 투자선이라고 명명되었다. 1955년에 그는 포트폴리오 이론에 대한 논문으로 시카고 대학으로부터 박사 학위를 받았다. 논문의 주제는 다분히 독창적이어서, 마코위츠가 그의 박사 논문을 심사받는 동안 밀턴 프리드먼이 포트폴리오 이론은 경제학이 아니라는 농담을 했다.. 1955년~1956년 동안 마코위츠는 제임스 토빈의 초대로 카울즈 재단에서 일 년을 보냈다 당시 카울즈 재단은 예일 대학으로 이전한 후였다. 그는 1956년 논문에 있는 크리티컬 라인 알고리즘을 출간했고, 재단에서 포트폴리오 배분에 관한 책을 저술하는 데 시간을 보냈는데, 이 책은 1959년에 출간되었다. 1963년, 마코위츠는 버디 메모리 할당 기법을 창안했다.

마코위츠는 1990년, 뉴욕시립대학교의 버룩 칼리지 금융 교수로 있을 때, 노벨 경제학상을 수상했다. 그는 현재 캘리포니아 패서디나위치한 로버트 D. 아르노(Robert D. Arnott)의 투자관리회사 리서치 어필리에이츠(Research Affiliates)에서 고문을 맡고 있다.

연구 
마코위츠 효율적 포트폴리오(Markowitz Efficient Portfolio)는 주어진 기대수익에 대해 제거 가능한 위험을 모두 제거한 포트폴리오이다. 다시 말해, 포트폴리오의 위험증가 없이는 추가적인 기대수익을 얻을 수 없다는 것이다. 마코위츠 프런티어 또는 마코위츠의 효율적 투자선이란, 각각의 주어진 리스크 수준에서 최상의 기대수익을 제공하는 모든 포트폴리오의 집합이다. 이러한 효율성의 개념은 자본 자산 가격결정모형(Capital Asset Pricing Model)이라 불리는 모델을 개발하는 데 필수적인 역할을 했다.

마코위츠는 또한 예일 매니지먼트 스쿨의 프랭크 J. 파보치(Frank J. Fabozzi) 교수와 함께 《투자 관리의 이론과 실제》(The Theory and Practice of Investment Management)를 공동 저술했다.

주요 업적 
 Markowitz, Harry M. (1952). “Portfolio Selection”. Journal of Finance 7 (1): 77-91.
 Markowitz, Harry M. (1956). “The optimization of a quadratic function subject to linear constraints”. Naval Research Logistics Quarterly 3: 111-133.
 Markowitz, Harry M. (1959). Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, New Jersey. (reprinted in 1970 by Yale University Press, ISBN 978-0-300-01372-6; second edition in 1991, Blackwell Publishing, ISBN 978-1-55786-108-5)

각주

외부 링크 
 마코위츠 프로필노벨 재단(Nobel Foundation) 공식 웹사이트
 Harry Markowitz (1959), Portfolio Selection: Efficient Diversification of Investments전문카울즈 재단(Cowles Foundation) 웹사이트

1927년 출생
2023년 사망
캘리포니아주의 경제학자
노벨 경제학상 수상자
시카고 대학교 동문
미국의 노벨상 수상자
금융경제학자
캘리포니아 대학교 샌디에고 교수
도쿄 대학 교수
유대계 미국인
존 폰 노이만 이론상 수상자