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Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire

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  • John Guerard

    (Pacific Spirit Investments)

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  • John Guerard, 2025. "Investments: the (almost) century of Markowitz Harry Markowitz: portfolio selection scholar, simulation creator, and applied investment researcher and consultant extraordinaire," Annals of Operations Research, Springer, vol. 346(1), pages 1-8, March.
    • Handle: RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06396-5
    DOI: 10.1007/s10479-024-06396-5
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    References listed on IDEAS

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    1. Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
    2. M. Bloch & J. Guerard & H. Markowitz & P. Todd & G. Xu, 2020. "A comparison of some aspects of the U.S. and Japanese equity markets," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 3, pages 17-40, World Scientific Publishing Co. Pte. Ltd..
    3. John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
    4. Stephen Boyd & Kasper Johansson & Ronald Kahn & Philipp Schiele & Thomas Schmelzer, 2024. "Markowitz Portfolio Construction at Seventy," Papers 2401.05080, arXiv.org.
    5. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
    6. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
    7. Guerard, John B. & Markowitz, Harry & Xu, GanLin, 2015. "Earnings forecasting in a global stock selection model and efficient portfolio construction and management," International Journal of Forecasting, Elsevier, vol. 31(2), pages 550-560.
    8. Harry M. Markowitz, 2011. "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508, World Scientific Publishing Co. Pte. Ltd..
    9. Harry M. Markowitz, 1999. "The Early History of Portfolio Theory: 1600–1960," Financial Analysts Journal, Taylor & Francis Journals, vol. 55(4), pages 5-16, July.
    10. Levy,Haim, 2012. "The Capital Asset Pricing Model in the 21st Century," Cambridge Books, Cambridge University Press, number 9781107006713, June.
    11. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions," Operations Research, INFORMS, vol. 53(4), pages 586-599, August.
    12. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2006. "Trimability and Fast Optimization of Long–Short Portfolios," Financial Analysts Journal, Taylor & Francis Journals, vol. 62(2), pages 36-46, March.
    13. Harry M. Markowitz, 2002. "Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective," Operations Research, INFORMS, vol. 50(1), pages 154-160, February.
    14. Edwin J. Elton & Martin J. Gruber & Mustafa Gultekin, 1981. "Expectations and Share Prices," Management Science, INFORMS, vol. 27(9), pages 975-987, September.
    15. Levy,Haim, 2012. "The Capital Asset Pricing Model in the 21st Century," Cambridge Books, Cambridge University Press, number 9780521186513, June.
    16. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2010. "Simulating Security Markets in Dynamic and Equilibrium Modes," Financial Analysts Journal, Taylor & Francis Journals, vol. 66(5), pages 42-53, September.
    17. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2010. "An analysis of portfolio selection with background risk," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3055-3060, December.
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