Details about Harry M. Markowitz

This author is deceased (2023-06-22).

Access statistics for papers by Harry M. Markowitz.

Last updated 2023-06-25. Update your information in the RePEc Author Service.

Short-id: pma73

---

Jump to Journal Articles Edited books Chapters

Working Papers

2023

1. Proofs that the Gerber Statistic is Positive Semidefinite
   Papers, arXiv.org View citations (1)

2008

2. Risk and Lack of Diversification under Employee Ownership and Shared Capitalism
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
   See also Chapter Risk and Lack of Diversification under Employee Ownership and Shared Capitalism, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (8) (2010)

1991

3. Autobiography
   Nobel Prize in Economics documents, Nobel Prize Committee

1990

4. Foundations of Portfolio Theory
   Nobel Prize in Economics documents, Nobel Prize Committee View citations (6)
   See also Journal Article Foundations of Portfolio Theory, Journal of Finance, American Finance Association (1991) View citations (203) (1991)

1957

5. A Simplex Method for the Portfolio Selection Problem
   Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)

Undated

6. Investment for the Long Run
   Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)

Journal Articles

2021

1. A further analysis of robust regression modeling and data mining corrections testing in global stocks
   Annals of Operations Research, 2021, 303, (1), 175-195 View citations (4)

2018

2. Data Mining Corrections Testing in Chinese Stocks
   Interfaces, 2018, 48, (2), 108-120 View citations (1)
3. Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
   Annals of Operations Research, 2018, 267, (1), 203-219 View citations (2)

2017

4. An Interview with Nobel Laureate Harry M. Markowitz
   Financial Analysts Journal, 2017, 73, (4), 16-21

2015

5. Can Noise Create the Size and Value Effects?
   Management Science, 2015, 61, (11), 2569-2579 View citations (6)
6. Earnings forecasting in a global stock selection model and efficient portfolio construction and management
   International Journal of Forecasting, 2015, 31, (2), 550-560 View citations (18)

2014

7. Mean–variance approximations to expected utility
   European Journal of Operational Research, 2014, 234, (2), 346-355 View citations (69)

2012

8. MEAN-VARIANCE APPROXIMATIONS TO THE GEOMETRIC MEAN
   Annals of Financial Economics (AFE), 2012, 07, (01), 1-30 View citations (3)

2010

9. Employee stock ownership and diversification
   Annals of Operations Research, 2010, 176, (1), 95-107 View citations (10)
10. God, Ants and Thomas Bayes
    The American Economist, 2010, 55, (2), 5-13
11. Portfolio Optimization with Mental Accounts
    Journal of Financial and Quantitative Analysis, 2010, 45, (2), 311-334 View citations (69)
12. Portfolio Theory: As I Still See It
    Annual Review of Financial Economics, 2010, 2, (1), 1-23 View citations (38)
13. Simulating Security Markets in Dynamic and Equilibrium Modes
    Financial Analysts Journal, 2010, 66, (5), 42-53

2009

14. Proposals Concerning the Current Financial Crisis
    Financial Analysts Journal, 2009, 65, (1), 25-27

2008

15. “Fundamentally Flawed Indexing”: Comments
    Financial Analysts Journal, 2008, 64, (2), 12-14

2006

16. A NOTE ON SEMIVARIANCE
    Mathematical Finance, 2006, 16, (1), 53-61 View citations (12)
17. Trimability and Fast Optimization of Long–Short Portfolios
    Financial Analysts Journal, 2006, 62, (2), 36-46

2005

18. Market Efficiency: A Theoretical Distinction and So What?
    Financial Analysts Journal, 2005, 61, (5), 17-30
19. Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
    Operations Research, 2005, 53, (4), 586-599 View citations (29)

2004

20. With Growth, a Growing Obligation
    Financial Analysts Journal, 2004, 60, (1), 10-10

2003

21. Single-Period Mean–Variance Analysis in a Changing World (corrected)
    Financial Analysts Journal, 2003, 59, (2), 30-44

2002

22. Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective
    Operations Research, 2002, 50, (1), 154-160 View citations (7)

1999

23. The Early History of Portfolio Theory: 1600–1960
    Financial Analysts Journal, 1999, 55, (4), 5-16 View citations (6)

1996

24. The Likelihood of Various Stock Market Return Distributions, Part 1: Principles of Inference
    Journal of Risk and Uncertainty, 1996, 13, (3), 207-19 View citations (19)
25. The Likelihood of Various Stock Market Return Distributions, Part 2: Empirical Results
    Journal of Risk and Uncertainty, 1996, 13, (3), 221-47 View citations (16)

1993

26. A comparison of some aspects of the U.S. and Japanese equity markets
    Japan and the World Economy, 1993, 5, (1), 3-26 View citations (6)
    See also Chapter A comparison of some aspects of the U.S. and Japanese equity markets, World Scientific Book Chapters, 2020, 17-40 (2020) (2020)
27. Trains of Thought
    The American Economist, 1993, 37, (1), 3-9
    See also Chapter Trains of Thought, Chapters, 2004 (2004) (2004)

1991

28. Foundations of Portfolio Theory
    Journal of Finance, 1991, 46, (2), 469-77 View citations (203)
    See also Working Paper Foundations of Portfolio Theory, Nobel Prize in Economics documents (1990) View citations (6) (1990)
29. Individual versus institutional investing
    Financial Services Review, 1991, 1, (1), 1-8 View citations (4)

1990

30. Normative portfolio analysis: Past, present, and future
    Journal of Economics and Business, 1990, 42, (2), 99-103 View citations (4)

1984

31. Mean-Variance versus Direct Utility Maximization
    Journal of Finance, 1984, 39, (1), 47-61 View citations (166)

1983

32. Nonnegative or Not Nonnegative: A Question about CAPMs
    Journal of Finance, 1983, 38, (2), 283-95 View citations (4)

1981

33. Portfolio Analysis with Factors and Scenarios
    Journal of Finance, 1981, 36, (4), 871-77 View citations (19)

1976

34. Investment for the Long Run: New Evidence for an Old Rule
    Journal of Finance, 1976, 31, (5), 1273-86 View citations (60)
    See also Chapter Investment for the Long Run: New Evidence for an Old Rule, World Scientific Book Chapters, 2011, 495-508 (2011) (2011)

1972

35. The Distribution System Simulator
    Management Science, 1972, 18, (8), B425-B453 View citations (4)

1966

36. Simulating with SIMSCRIPT
    Management Science, 1966, 12, (10), B396-B405 View citations (2)

1963

37. A note on shortest path, assignment, and transportation problems
    Naval Research Logistics Quarterly, 1963, 10, (1), 375-379 View citations (3)

1957

38. Computing procedures for portfolio selection (abstract)
    Naval Research Logistics Quarterly, 1957, 4, (1), 87-88 View citations (1)
39. The Elimination form of the Inverse and its Application to Linear Programming
    Management Science, 1957, 3, (3), 255-269 View citations (16)

1956

40. The optimization of a quadratic function subject to linear constraints
    Naval Research Logistics Quarterly, 1956, 3, (1‐2), 111-133 View citations (48)

1952

41. PORTFOLIO SELECTION
    Journal of Finance, 1952, 7, (1), 77-91 View citations (3508)
42. The Utility of Wealth
    Journal of Political Economy, 1952, 60, (2), 151 View citations (524)

Edited books

2009

1. Harry Markowitz:Selected Works
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

Chapters

2020

1. A comparison of some aspects of the U.S. and Japanese equity markets
   Chapter 3 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 17-40
   See also Journal Article A comparison of some aspects of the U.S. and Japanese equity markets, Elsevier (1993) View citations (6) (1993)
2. Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean–Semivariance Portfolio Optimization
   Chapter 17 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 369-415 View citations (2)
3. The role of effective corporate decisions in the creation of efficient portfolios
   Chapter 5 in HANDBOOK OF APPLIED INVESTMENT RESEARCH, 2020, pp 63-73

2011

4. Investment for the Long Run: New Evidence for an Old Rule
   Chapter 35 in THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, 2011, pp 495-508
   See also Journal Article Investment for the Long Run: New Evidence for an Old Rule, American Finance Association (1976) View citations (60) (1976)

2010

5. Risk and Lack of Diversification under Employee Ownership and Shared Capitalism
   A chapter in Shared Capitalism at Work: Employee Ownership, Profit and Gain Sharing, and Broad-based Stock Options, 2010, pp 105-136 View citations (8)
   See also Working Paper Risk and Lack of Diversification under Employee Ownership and Shared Capitalism, National Bureau of Economic Research, Inc (2008) View citations (8) (2008)
6. Single-Period Mean–Variance Analysis in a Changing World
   Springer

2009

7. 1952
   Chapter 2 in Harry Markowitz Selected Works, 2009, pp 11-50
8. Baruch College (CUNY) and Daiwa Securities
   Chapter 6 in Harry Markowitz Selected Works, 2009, pp 443-528
9. Harry Markowitz Company
   Chapter 7 in Harry Markowitz Selected Works, 2009, pp 529-700 View citations (2)
10. IBM's T. J. Watson Research Center
    Chapter 5 in Harry Markowitz Selected Works, 2009, pp 279-442
11. Overview
    Chapter 1 in Harry Markowitz Selected Works, 2009, pp 1-9
12. Rand [II] and CACI
    Chapter 4 in Harry Markowitz Selected Works, 2009, pp 147-277
13. Rand [I] and The Cowles Foundation
    Chapter 3 in Harry Markowitz Selected Works, 2009, pp 51-145

2005

14. RESAMPLED FRONTIERS VERSUS DIFFUSE BAYES: AN EXPERIMENT
    Chapter 9 in The World Of Risk Management, 2005, pp 183-202

2004

15. Trains of Thought
    Chapter 17 in Reflections of Eminent Economists, 2004
    See also Journal Article Trains of Thought, Sage Publications (1993) (1993)