Harry Markowitz

Brief Biography

Harry Max Markowitz was 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 (LP) problems. One of the notable contributions of Markowitz here in 1957 was the Markowitz pivot selection rule for inverting sparse matrices as part of the Simplex method for solving LPs.  This rule was made available in a number of commercial LP packages.

Another contribution in the optimization area was the introduction of some of the essential ideas of Branch-and-Bound for solving integer/discrete optimization problems in a 1957 paper with Alan Manne.

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.  As part of his SIMSCRIPT work he is credited by Donald Knuth in Knuth's The Art of Computer Programming, Sorting and Searching, with originating the "buddy" system for managing the allocation and de-allocation of memory blocks in computer software systems. Again, this method was implemented in a number of commercial software systems. Also, in his SIMSCRIPT work, he was one of the first to popularize the use of "flat tables" to store data.

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. He remained an active researcher and publisher until his death.

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)

UBS Nobel Perspectives.  Harry Markowitz - Can we make risk less risky?  Accessed April 25, 2019 (link) 

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)

Harry Markowitz, The Lost Interview (2018) Interview by Ludwig Chincarini, published June 11.  (video)