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A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe

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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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. Miller, Merton H, 1991. " Leverage," Journal of Finance, American Finance Association, vol. 46(2), pages 479-88, June.
  2. Miller, Merton H, 1988. "The Modigliani-Miller Propositions after Thirty Years," Journal of Economic Perspectives, American Economic Association, vol. 2(4), pages 99-120, Fall.
  3. Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 55-72, Fall.
  4. Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee.
  5. 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, 09.
  6. Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
  7. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
  8. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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