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.
Volume (Year): 7 (1993)
Issue (Month): 1 (Winter)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Miller, Merton H., 1990.
Nobel Prize in Economics documents
1990-2, Nobel Prize Committee.
- Miller, Merton H, 1991. " Leverage," Journal of Finance, American Finance Association, vol. 46(2), pages 479-88, June.
- Merton H. Miller, 2005. "Leverage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 17(1), pages 106-111.
- Merton H. Miller, 1991. "Leverage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 4(2), pages 6-13.
- Markowitz, Harry M., 1990.
"Foundations of Portfolio Theory,"
Nobel Prize in Economics documents
1990-1, Nobel Prize Committee.
- 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.
- Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee.
- 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.
- Merton H. Miller, 1989. "The Modigliani-Miller Propositions After Thirty Years," Journal of Applied Corporate Finance, Morgan Stanley, vol. 2(1), pages 6-18.
- William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
- J. Tobin, 1958.
"Liquidity Preference as Behavior Towards Risk,"
Review of Economic Studies,
Oxford University Press, vol. 25(2), pages 65-86.
- 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.
- Varian, Hal R, 1987. "The Arbitrage Principle in Financial Economics," Journal of Economic Perspectives, American Economic Association, vol. 1(2), pages 55-72, Fall.
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