After graduating from high school, markowitz entered the University of Chicago for two years. In his eyes, all the courses are interesting. Among them, he was particularly interested in the philosophers he read in a course of observation, interpretation and integration. 65438-0947 graduated from the Economics Department of the University of Chicago with a bachelor's degree.

Studying economics is not his childhood dream. After obtaining his bachelor's degree, he decided to study economics and chose his master's degree. Microeconomics and macroeconomics are both good at it, but they are most interested in uncertain economics, especially Feng? The argument between Neumann, Morgenstein and Marshak about expected utility, Friedman-Savants utility function, and Savants' defense of individual probability. Markowitz said, "I am lucky to have great teachers like Friedman, Marshak and Savannah in Chicago. Cooper's activity analysis course, together with its definition of efficiency and analysis of its effective set, is also a key part of my education. "

When markowitz chose the topic of his thesis, he found the possibility of applying mathematical methods to the stock market. He asked Professor Mashak for advice. Marshak thought it was a reasonable idea, and explained that Alfred? Cowles himself was very interested in this kind of application and suggested that he see Marshall? Professor ke chun. Marshall? Professor Ke Chun gave markowitz a reading list to guide him into the research field of modern financial theory and practice.

Markowitz's portfolio theory originated from a very accidental opportunity. One afternoon, he was reading John's book in the library. Bull? Williams' investment value theory has the basic concept of portfolio theory. Williams suggested that the value of a stock should be equal to the present value of its future dividends. Because the future dividend is uncertain, Markowitz's explanation is to evaluate the stock according to its expected future dividend. However, if an investor is only interested in the expected value of securities, he will only be interested in the expected value of securities portfolio; In order to maximize the expected value of the portfolio, people only need to invest in one kind of securities. This is certainly not the action that investors should take. Investors diversify their investments in order to avoid risks and gain profits. Markowitz uses variance to measure risk. According to the fact that the variance of portfolio depends on the variance of securities and the risk-reward criterion, investors can choose Pareto optimal risk-reward portfolio.

Markowitz left the University of Chicago on 1952 to join RAND Corporation. In the rand corporation, markowitz didn't study portfolio theory, but he learned from George? Ze studied the optimization technique and applied it to the mean-variance boundary velocity algorithm.

Since Markowitz published an article on portfolio theory in 1952, he has participated in many research topics. His focus has always been the application of mathematics or computer in practical problems, especially the enterprise decision-making under uncertainty. These works have achieved great success in practice. 1989 awarded by American Logistics Society and Management Science Society to Markowitz Feng? Neumann prize for operational research theory.

In 1950s, Markowitz also studied sparse matrix in RAND company. The person involved in this work is Allen? s？ Mann, Tibo? Fabian, Thomas? Marshak, Allen? j？ Luo and others * * * studied and established the analysis model of the whole industry and multi-industry activities. Markowitz said: "Our model exhausted the computer power at that time." Most systems of these matrices are zero, that is, the nonzero in the matrix is "sparse". Moreover, if the principal components can be carefully selected, the triangular matrix provided by gauss elimination will be sparse on the whole.

In addition, markowitz also studied the simulation technology in this period. Like many people, he proved that the solution of many practical problems needs simulation technology. In RAND Corporation, markowitz participated in the establishment of a large-scale logistics simulation model; Helped build a manufacturing factory model at General Electric Company.

In 1960s, Markowitz developed a programming language, which later became SIMSCRIPT. b？ Gauzner and H? Carl participated in the programming. They will continue to cooperate in the future and jointly set up a computer software company-CACI. At present, the new version of this programming language is still maintained by CACI and has quite a few users. Markowitz attaches great importance to the application of computers. He is a professor at new york University and an expert in computer programming. Sometimes he uses computers to speculate on securities program trading.

For clarity, we have listed Markowitz's resume here. 1952- 1960 and 196 1- 1963, as associate researchers of rand corporation. 1960 ——1961year as a consultant of general electric company; Chairman of Joint Analysis Center Company; 1968 ——1969 Professor of Finance, UCLA; 1969— 1972 serves as the chairman of the arbitration management company, and 1972— 1974 serves as the company consultant; 1972 ——1974 Professor of Finance, Wharton College, University of Pennsylvania; 1974- 1983, a researcher at IBM; 1980 to 1982 served as an associate professor of finance at Rutgers university, and 1982 was promoted to professor of economics and finance at Rutgers university. He is currently a professor at Baruch College of City University of new york. Markowitz was also elected as a member of the Cowles Economic Research Fund of Yale University, a member of the American Social Science Research Association, a member of the American Econometrics Association, the chairman of the Institute of Management Science, and the chairman of the American Financial Association.

Markowitz is an economist who closely links academics with applications. Because of his outstanding and pioneering work, markowitz, together with two other scholars, won the 1990 Nobel Prize in Economics.

Markowitz, Sharp and Miller, three American economists, won the 1990 Nobel Prize in Economics at the same time, because "their pioneering research on modern financial economics theory provided investors, shareholders and financial experts with tools to measure the investment risks and returns of different financial assets, so as to estimate and predict the prices of securities such as stocks and bonds". The theory of these three winners explains the following problems: how to balance the risks and benefits of various assets under a given total amount of securities investment; How to determine the price of securities through this balance of risk and income; And how factors such as tax rate change or enterprise bankruptcy affect securities prices. Markowitz's contribution is that he developed the theory of asset selection. His classic book "Asset Selection" published in 1952 pushed the previous single asset analysis to a new stage. He analyzed the choice of assets based on portfolio, and cooperated with investors' attitude towards risk, thus resulting in the modern portfolio investment theory.

The analysis method of markowitz's asset selection theory is helpful for investors to choose the most favorable investment, so as to obtain the best asset portfolio, maximize the investment income and minimize its risk.

Suppose that one of the two risky assets is profitable in one case and the other is profitable in the other. Securities with these two assets are always profitable. In other words, adding one risky asset to another can greatly reduce the total risk of securities. Therefore, modern securities theory holds that the risk of a single asset is almost irrelevant to investors, but what is important is its role in the total risk of investors.

Investors have different feelings about risks and returns, so it is a thorny mathematical problem to turn the above principles into feasible skills and choose appropriate securities from many different assets. Markowitz solved this problem by using the so-called average variance analysis. This method has become a necessary tool of modern economics, and its application scope has exceeded the financial field.

This analytical method was developed by economists such as Tobin (winner of the Nobel Prize in Economics in 198 1) and Sharp, and it has become one of the main analytical tools used by contemporary economists, and its use has gone far beyond the scope of financial markets. In addition to asset selection theory, Markowitz has also made great contributions to linear programming analysis methods and rational behavior theory under uncertain conditions.

Markowitz's masterpiece is The Choice of Assets published by 1959. This book analyzes the portfolio containing many kinds of securities, and puts forward the formula and method to measure the return and risk of a securities and portfolio, that is, in a certain year, the yield of a securities = (closing price of this year-closing price of last year+dividend of this year) ÷ closing price of last year. The stability of portfolio depends on three factors: the standard deviation of each security, the correlation of each pair of securities and the investment amount of each security. He believes that an effective portfolio must meet the following two conditions: (1) Under a certain standard deviation, the average return of this portfolio is the highest; (2) Under a certain average reward, the standard deviation of this combination is the largest.