Harry Markowitz

Harry Markowitz was an American economist whose mathematical work on diversification and risk founded modern portfolio theory. He shared the 1990 Nobel Memorial Prize in Economic Sciences.

Modern portfolio theory: A framework for choosing portfolios by balancing expected return against risk. Markowitz’s work established its central mathematical foundation.
Mean–variance analysis: A method that evaluates choices using expected value and variance. Markowitz applied it to compare portfolios by expected return and risk.
Portfolio Selection: Harry Markowitz’s 1952 article that formulated portfolio choice as a tradeoff between expected return and variance. This paper introduced the mathematical approach that made him a foundational figure in finance.
Capital asset pricing model: A model relating an asset’s expected return to its systematic risk relative to the market. It builds on portfolio theory to explain the relation between market risk and expected return.
Portfolio diversification: An investment strategy that spreads holdings across assets to reduce exposure to individual risks. Markowitz formalized how combining imperfectly correlated assets can reduce portfolio risk.
Efficient frontier: The set of portfolios offering the highest expected return for each level of risk. It represents the optimal portfolios produced by Markowitz’s selection problem.
Journal of Finance: A peer-reviewed academic journal specializing in financial economics. It published Markowitz’s 1952 article, “Portfolio Selection.”
Index fund: An investment fund designed to track the performance of a specified market index. Portfolio theory helped establish quantitative foundations for broad, diversified investing.
Expected return: The probability-weighted average of an investment’s possible returns. His portfolio model compares expected return with the risk taken to pursue it.
Markowitz portfolio optimization: A mathematical procedure for finding portfolios that optimize expected return and variance under specified constraints. This optimization turns his theory into a portfolio-selection calculation.

Linked from 7 pages