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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.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jep.7.1.159
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Bibliographic Info

Article provided by American Economic Association in its journal Journal of Economic Perspectives.

Volume (Year): 7 (1993)
Issue (Month): 1 (Winter)
Pages: 159-169

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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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  1. Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents, Nobel Prize Committee 1990-1, Nobel Prize Committee.
  2. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, American Finance Association, vol. 46(2), pages 489-509, June.
  3. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 19(3), pages 425-442, 09.
  4. Merton H. Miller, 2005. "Leverage," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 17(1), pages 106-111.
  5. Miller, Merton H, 1988. "The Modigliani-Miller Propositions after Thirty Years," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 2(4), pages 99-120, Fall.
  6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
  7. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, INFORMS, vol. 9(2), pages 277-293, January.
  8. Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 1(2), pages 55-72, Fall.
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Cited by:
  1. Papachristou, George & Karamanis, Dimitri, 1998. "Investigating efficiency in betting markets: Evidence from the Greek 6/49 Lotto," Journal of Banking & Finance, Elsevier, Elsevier, vol. 22(12), pages 1597-1615, December.
  2. Albrecht, Johan, 2007. "The future role of photovoltaics: A learning curve versus portfolio perspective," Energy Policy, Elsevier, Elsevier, vol. 35(4), pages 2296-2304, April.
  3. Szabó, Sándor & Jäger-Waldau, Arnulf & Szabó, László, 2010. "Risk adjusted financial costs of photovoltaics," Energy Policy, Elsevier, Elsevier, vol. 38(7), pages 3807-3819, July.
  4. Awerbuch, Shimon, 2000. "Investing in photovoltaics: risk, accounting and the value of new technology," Energy Policy, Elsevier, Elsevier, vol. 28(14), pages 1023-1035, November.
  5. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1139, Cowles Foundation for Research in Economics, Yale University.

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