Harry Markowitz, the Cowles Commission, and portfolio theory

Robert W. Dimand
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Robert W. Dimand: Brock University

Annals of Operations Research, 2025, vol. 346, issue 1, No 9, 99-111

Abstract: Abstract Harry Markowitz’s pioneering work on portfolio choice was developed in the supportive environment of the Cowles Commission (later Foundation), a remarkable organization devoted to advanced formal mathematical and statistical methods in economics. Markowitz made use of Tjalling Koopmans’s activity analysis and influenced the monetary and financial economics of James Tobin and his Cowles associates, who studied the implications for economic equilibrium of investors following Markowitz’s optimal portfolio diversification. Milton Friedman’s reluctance to accept Markowitz’s dissertation was part of growing methodological frictions between Friedman and the Cowles Commission that led the commission to leave the University of Chicago to become the Cowles Foundation at Yale.

Keywords: Harry Markowitz; Cowles Commission; Cowles foundation; Origins of portfolio theory; History of Economic Thought Since 1925; Quantitative and Mathematical Studies; B26 History of Economic Thought Since 1925; Financial Economics; B31 History of Economic Thought; Individuals (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s10479-024-06223-x

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