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Harry Markowitz, the Cowles Commission, and portfolio theory

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  • Robert W. Dimand

    (Brock University)

Abstract

Harry Markowitz’s pioneering work on portfolio choice was developed in the supportive environment of the Cowles Commission (later Foundation), a remarkable organization devoted to advanced formal mathematical and statistical methods in economics. Markowitz made use of Tjalling Koopmans’s activity analysis and influenced the monetary and financial economics of James Tobin and his Cowles associates, who studied the implications for economic equilibrium of investors following Markowitz’s optimal portfolio diversification. Milton Friedman’s reluctance to accept Markowitz’s dissertation was part of growing methodological frictions between Friedman and the Cowles Commission that led the commission to leave the University of Chicago to become the Cowles Foundation at Yale.

Suggested Citation

  • Robert W. Dimand, 2025. "Harry Markowitz, the Cowles Commission, and portfolio theory," Annals of Operations Research, Springer, vol. 346(1), pages 99-111, March.
    • Handle: RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06223-x
    DOI: 10.1007/s10479-024-06223-x
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    References listed on IDEAS

    as
    1. Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
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