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A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe

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  • Hal Varian

Abstract

Three pioneers of quantitative finance have now been justly honored: Harry Markowitz, Merton Miller, and William Sharpe received the Nobel Prize in Economic Science in 1990. From today's perspective it is hard to understand what finance was like before portfolio theory. Here I attempt to provide a very brief history of the quantitative revolution in finance, drawing upon P. Bernstein's Capital Ideas (1992) and accounts of the three Nobel laureates.

Suggested Citation

  • Hal Varian, 1993. "A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe," Journal of Economic Perspectives, American Economic Association, vol. 7(1), pages 159-169, Winter.
    • Handle: RePEc:aea:jecper:v:7:y:1993:i:1:p:159-69
    Note: DOI: 10.1257/jep.7.1.159
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    File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jep.7.1.159
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    References listed on IDEAS

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    2. Khan, M. Ali, 2000. "Globalization Of Financial Markets And Islamic Financial Institutions," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 8, pages 20-66.
    3. Albrecht, Johan, 2007. "The future role of photovoltaics: A learning curve versus portfolio perspective," Energy Policy, Elsevier, vol. 35(4), pages 2296-2304, April.
    4. Urbanowicz, Krzysztof & Richmond, Peter & Hołyst, Janusz A., 2007. "Risk evaluation with enhanced covariance matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 468-474.
    5. Geoffrey Poitras & Franck Jovanovic, 2010. "Pioneers of Financial Economics: Das Adam Smith Irrelevanzproblem?," History of Economics Review, Taylor & Francis Journals, vol. 51(1), pages 43-64, January.
    6. John A. C. Conybeare, 1994. "Arms Versus Alliances," Journal of Conflict Resolution, Peace Science Society (International), vol. 38(2), pages 215-235, June.
    7. Papachristou, George & Karamanis, Dimitri, 1998. "Investigating efficiency in betting markets: Evidence from the Greek 6/49 Lotto," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1597-1615, December.
    8. Escribano Francés, Gonzalo & Marín-Quemada, José María & San Martín González, Enrique, 2013. "RES and risk: Renewable energy's contribution to energy security. A portfolio-based approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 26(C), pages 549-559.
    9. Peter C. Dawson, 2015. "The capital asset pricing model in economic perspective," Applied Economics, Taylor & Francis Journals, vol. 47(6), pages 569-598, February.
    10. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation for Research in Economics, Yale University.
    11. Lizardo Radhames A. & Kelly Mary H., 2014. "What Motivates China to Invest So Heavily in U.S. Treasury Securities?," Global Economy Journal, De Gruyter, vol. 14(2), pages 1-20, April.
    12. Szabó, Sándor & Jäger-Waldau, Arnulf & Szabó, László, 2010. "Risk adjusted financial costs of photovoltaics," Energy Policy, Elsevier, vol. 38(7), pages 3807-3819, July.
    13. Awerbuch, Shimon, 2000. "Investing in photovoltaics: risk, accounting and the value of new technology," Energy Policy, Elsevier, vol. 28(14), pages 1023-1035, November.
    14. Janki Mistry & Ritesh Ashok Khatwani, 2023. "Examining the superiority of the Sharpe single-index model of portfolio selection: A study of the Indian mid-cap sector," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-9, December.
    15. Bąk Sylwia, 2020. "The problem of uncertainty and risk as a subject of research of the Nobel Prize Laureates in Economic Sciences," Journal of Economics and Management, Sciendo, vol. 39(1), pages 21-40, March.

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