Harry Markowitz

He still gives lectures on portfolio management at various forums.

Harry Markowitz was born in Chicago, Illinois, USA on August 24, 1927 to Morris Markowitz and Mildred Markowitz. They owned a small grocery store in Chicago. He was the only child of his parents.

He acquired a love for philosophy and physics during his days in high school.

He joined the ‘University of Chicago’ and earned his B.Phil degree from there in 1947. During this period he became interested about the uncertainties that were attached to investments in the share market.

He continued with his studies at the university and specialized in economics. He was greatly influenced by famous economists such as Jacob Marschak, Leonard Savage and others. He earned his M.A. degree from the university in 1950.

He received an invitation to join the ‘Cowles Commission for Research in Economics’ located in Chicago while he was still a student.

Harry Markowitz joined the RAND Corporation in 1952 and started working with George Dantzig on the development of a ‘critical line algorithm’ that would help in the optimization of the mean-variance in the portfolios. This came to be known as the ‘Markowitz frontier’. He developed an algorithm for identifying the portfolios that would have shares with the greatest amount of optimization.

He spent a year from 1955 to 1956 at the ‘Cowles Foundation’, Yale University. During this time he worked on his algorithm which was published it in 1956 and on his book on the allocation of portfolio which came out in 1959.

He returned to the RAND Corporation in 1960 and helped develop a programming language called ‘SIMSCRIPT’ which was the first ‘simulation programming language’ of its kind.

He founded the ‘California Analysis Center’ on July 17, 1962 with the help of Herb Karr which later became the ‘CACI International’.

He joined the ‘Arbitrage Management Company’ in 1968 and created a hedge fund with the help of Robert Merton and Paul Samuelson which is supposed to be the first ever attempt to conduct arbitrage trading with the help of computers. He became the CEO of this company in 1970. He left the company in 1971 after it was bought by Stuart & Co.

Harry Markowitz published his first book ‘Portfolio Selection’ in 1952.

His next book was titled ‘Portfolio Selection: Efficient Diversification of Investments’ which came out in 1959.