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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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    1. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, pages 65-86.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, pages 277-293.
    4. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    5. Merton H. Miller, 2005. "Leverage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(1), pages 106-111.
    6. Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, pages 55-72.
    7. Merton H. Miller, 1989. "The Modigliani-Miller Propositions After Thirty Years," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(1), pages 6-18.
    8. Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
    9. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
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    Cited by:

    1. A. El-Gamal, Mahmoud, 2001. "An Economic Explication of the Prohibition of Gharar in Classical Islamic Jurisprudence," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 8, pages 29-58.
    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. 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.
    6. Szabó, Sándor & Jäger-Waldau, Arnulf & Szabó, László, 2010. "Risk adjusted financial costs of photovoltaics," Energy Policy, Elsevier, vol. 38(7), pages 3807-3819, July.
    7. Awerbuch, Shimon, 2000. "Investing in photovoltaics: risk, accounting and the value of new technology," Energy Policy, Elsevier, vol. 28(14), pages 1023-1035, November.
    8. 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.
    9. 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.
    10. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation for Research in Economics, Yale University.

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    JEL classification:

    • B31 - Schools of Economic Thought and Methodology - - History of Economic Thought: Individuals - - - Individuals

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