Harry Markowitz

Born: August 24, 1927

Brief Biography

Harry Max Markowitz is a Nobel-prizing winning economist. Even though he was raised in Depression-era Chicago, Markowitz and his family lived a relatively comfortable life and avoided the woes that afflicted the nation. As a youth, he became enamored with the philosophical writings of David Hume and went on to receive a B.A. in philosophy from the University of Chicago. Markowitz chose economics as his upper-division concentration. Captivated, he continued his education in the field and remained at Chicago for graduate study.

As a graduate student, Markowitz studied the theory of games and expected utility theory of John von Neumann. Markowitz was a student member of the Cowles Commission when he had his epiphany on portfolio theory. Building upon the idiom “don’t put all the eggs in one basket,” he developed a method of portfolio analysis that was concerned with finding diversified porfolios with maximum return for a given level of risk and, alternatively, minimum risk for a given level of return. This basic concept, which he officially introduced in his 1954 dissertation, would become the basis of modern financial engineering. At the suggestion of Yale professor James Tobin, Markowitz expanded this work into a book and published Portfolio Selection: Efficient Diversification of Investments in 1962.

Prior to the completion of his dissertation, Markowitz accepted a position with the RAND Corporation. It was at RAND when he was first introduced to Linear Programming. He was asked to study George B. Dantzig’s paper on the simplex method. Markowitz was tasked with the supervision of computationally applying Dantzig’s method on an IBM Card Programming Calculator. This greatly sped up RAND’s ability to solve linear programming problems. After working on various other simulation problems, Markowitz received and accepted a job offer from General Electric. Feeling stifled by proprietary issues at GE he returned to RAND and developed SIMSCRIPT, a very powerful computer simulation language.

After the continued development and integration of SIMSCRIPT languages at California Analysis Center, Inc. (CACI), Markowitz entered academia as a professor at the University of California, Los Angeles in 1968. He held a series of other academic and consultant positions (including a nine year stint at IBM’s T. J. Watson Research Center) before settling down in San Diego. Since 1993, he has been an adjunct professor at the Rady School of Management at the University of California, San Diego.

In 1989, Markowitz was awarded the Jon Von Neumann Theory Prize for his work on portfolio selection, mathematical programming, and simulation. The following year he was jointly awarded the Nobel Prize in Economic Sciences along with Merton H. Miller and William F. Sharpe “for pioneering work in the theory of financial economics.” Markowitz was elected as a fellow of the Institute for Operations Research and the Management Sciences in 2002 and remains an active researcher and publisher.

Other Biographies

Profiles in Operations Research: Harry Markowitz
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Wikipedia Entry for Harry Markowitz

Cate T. (2013) Harry M. Markowitz. Cate T., ed. in An Encyclopedia of Keynesian Economics, Second Edition, 432-435. Edward Elgar Publishing: Cheltenham, UK. 

Economy Watch. Economists: Harry M. Markowitz. Accessed January 28, 2015. (link)

Jewish Virtual Library. Harry Markowitz (1927- ). Accessed January 28, 2015. (link)

UCSD Rady School. Faculty: Harry Markowitz. Accessed January 28, 2015. (link)


University of Chicago, BPhil 1947

University of Chicago, MA 1950

University of Chicago, PhD 1954


Academic Affiliations
Non-Academic Affiliations

Key Interests in OR/MS

Application Areas

Oral Histories

Harry M. Markowitz (2002) Interview by Jeffery Yost, March 18. San Diego, CA. Charles Babbage Institute Center for the History of Information Technology: Minneapolis, MN. (transcript)

Harry M. Markowitz (2013) Interview by Richard E. Nance, February 5. San Diego, CA. NCSU Computer Simulation Archives: Raleigh, NC. (video)

Memoirs and Autobiographies


Nobel Prize Foundation. Nobel Prize and Laureates: Harry M. Markowitz Autobiography. Accessed January 29, 2015. (link)


Harry M. Markowitz Papers, MC 00408, Special Collections Research Center, North Carolina State University Libraries, Raleigh, NC. (link)

Awards and Honors

John von Neumann Theory Prize 1989

Nobel Prize in Economic Sciences 1990

Institute for Operations Research and the Management Sciences Fellow 2002

Professional Service

American Finance Association, President 1982-83

Selected Publications

Markowitz H. (1952) Portfolio selection. The Journal of Finance, 7(1): 77-91.

Markowitz H. (1956) The optimization of a quadratic function subject to linear constraints. Naval research logistics Quarterly, 3(1): 111-133.

Markowitz H. (1957) The elemination form of the inverse and its applications to linear programming. Management Science, 3(3): 255-269.

Markowitz H. M. (1962) Portfolio Selection: Efficient Diversification of Investments. Blackwell: Cambridge, MA.

Markowitz H. M. (1963) Technical Appendix on the SIMSCRIPT Simulation Programming Language. RAND Corporation: Santa Monica, CA.

Kiviat P. J., Villanueva R., & Markowitz H. M. (1968) The SIMSCRIPT II programming language, No. RAND-R-460-PR. RAND Corporation: Santa Monica, CA.

Markowitz H. M. (1987) Mean-Variance Analysis in Portfolio Choice and Capital Markets. Basil Blackwell: New York.

Das S., Markowitz H., Scheid J., & Statman M. (2010). Portfolio optimization with mental accounts. Journal of Financial and Quantitative Analysis, 45(2): 311-334.

Additional Resources

Markowitz H. (1990) Prize Lecture: Foundations of Portfolio Theory, December 7. Transcript. Nobel Foundation. (link)

Markowitz H. M. (1979) SIMSCRIPT: Past, present, and some thoughts about the future. Adam N. R. & Dogramaci A, eds. in Current Issues in Computer Simulation, 27–60. Academic Press: New York.

Markowitz H. M. (2002) Efficient Portfolios, Sparse Martices, and Entities: A Retrospective. Operations Research, 50(1): 154-160. (link)