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Harry Markowitz

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  1. Pale Yale: What the Yale Model Can't Teach You


    Sun, 18 Jan 2015

    Summary There's nothing wrong with the Yale Model's general precept to diversify as much as reasonably possible. Harry Markowitz won a Nobel Prize for demonstrating the gains from adding imperfectly correlated assets, and deservedly so. Nor

  2. Why All Defined-Benefit Plans are Short-Term Investors


    Wed, 19 Nov 2014

    investor arises from investment assumptions that are crucially different from those facing a DB plan. Decades ago, when Harry Markowitz and Paul Samuelson debated whether a “long-term investor” should care about risk or only return, they both

  3. Harnessing the Stock Market’s Natural Rotation: An Asset Allocation Strategy


    Thu, 2 Oct 2014

    rotation. A cyclical approach to US equity diversification Asset allocation strategies have continued to evolve since Harry Markowitz pioneered the concept of Modern Portfolio Theory (MPT) in 1952. In an article published in the Journal of Finance titled

  4. Is Bogle Befuddling?


    Tue, 20 May 2014

    policy. It's natural that he might have a few idiosyncratic views. After all, back in the day, when Money asked Harry Markowitz about his personal asset allocation, Markowitz replied that it consisted of 50% stocks, 50% bonds. That seemed

  5. Keep a Sharpe Eye on Future Risk


    Thu, 3 Apr 2014

    Future Sharpe ratios and investment management firms hang in the balance. Well, as Bill Sharpe’s contemporary Harry Markowitz pointed out long ago, investing is a process of compromises involving diversification, and many times the compromise

  6. A Preference for Discomfort


    Thu, 20 Mar 2014

    of our current understanding of financial markets. Harry Markowitz introduced modern portfolio theory (MPT) with his ..... who first propounded these wonderful theories, Harry Markowitz is the first to welcome these additional insights

  7. All Is Well, Until It Isn’t


    Tue, 21 Jan 2014

    Diversification, and in particular Modern Portfolio Theory, can trace its roots back to the 1950’s. In 1952, Harry Markowitz developed techniques to determine the “optimal” mix of assets given a set of assumptions. This optimal mix later

  8. Online Investment Advice


    Fri, 10 Jan 2014

    respectability. Its investment board contains two Ivy League finance professors; its website links to pages about Harry Markowitz , Ken French, and Gene Fama; and its portfolios are based on "decades of Nobel-prize winning research," using

  9. The Challenges of Year-End Forecasting


    Fri, 20 Dec 2013

    While we are on the subject of Nobel Laureates in finance, it is worth remembering the crowning insight of Professor Harry Markowitz , who won the prize in 1990: diversification is the ultimate free lunch in investing. Clearly, 2013 was not the

  10. For Whom the Nobel Tolls


    Tue, 26 Nov 2013

    fairness, Fama was not the only famous economist to be victimized by my sarcasm. I also mentioned Nobel laureates Harry Markowitz and Paul Samuelson, and added, “While picking on Nobel Prize winners’ contributions to investment science

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