Harry Markowitz

Origins and early life

Harry Max Markowitz was born in Chicago on 24 August 1927, the only child of Morris and Mildred Markowitz, who owned a small grocery store, and he later wrote that he never even noticed the Great Depression.

Work and career

English Wikipedia describes him as born into a Jewish family, though his own Nobel autobiography, which recalls his violin and his early reading of David Hume, says nothing about religion. He took the two-year bachelor's programme at the University of Chicago, turned to economics under teachers such as Milton Friedman and Jacob Marschak, joined the Cowles Commission and finished his master's degree in 1950. Reading John Burr Williams on the value of stocks one afternoon in the library, he saw that an investor who cared only about expected return would hold a single security, whereas real investors diversify because they also weigh risk, which he measured by the variance of the whole portfolio.

He set this out in Portfolio Selection, published in the Journal of Finance in 1952, took his doctorate in 1954, and developed it in a book of 1959 written at the Cowles Foundation at Yale at the invitation of James Tobin. At the RAND Corporation, which he joined in 1952, he worked on sparse matrix methods and on SIMSCRIPT, a language for computer simulation, and in 1962 he co-founded the firm CACI with Herbert Karr to support it.

Recognition

After the John von Neumann Theory Prize in 1989, he shared the 1990 Nobel Memorial Prize in Economic Sciences with Merton Miller and William Sharpe “for their pioneering work in the theory of financial economics”, his part for having developed the theory of portfolio choice. He was then at Baruch College in New York, and from 2007 until he retired in 2019 he taught at the University of California San Diego, to which he gave his Nobel medal in 2018. He died in a San Diego hospital on 22 June 2023, at the age of ninety-five.