EURO 2024 Copenhagen
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148. The life and work of Harry M Markowitz

Invited abstract in session WC-20: Moments in the history of OR 2, stream Moments in the history of OR.

Wednesday, 12:30-14:00
Room: 45 (building: 116)

Authors (first author is the speaker)

1. Josh Fogg
School of Mathematics, University of Edinburgh, Maxwell Institute Graduate School

Abstract

Harry M Markowitz (1927-2023) was a man who lived many lifetimes. An American Jew born in Chicago, his childhood ran through the turmoil of both the Great Depression and World War II. He went on to do much pioneering research, for which he won both the Nobel and John von Neumann prizes.

Within OR, he's recognised as the father of Modern Portfolio Theory for his work on mean-variance analysis. Not content to define just one field, he's also known as the grandfather of Behaviour Economics for his ideas on behaviour under risk. Including and beyond these, he was a prolific researcher across economics, mathematics, and computer science.

Markowitz' collaborators in that are a "who's who" of 20th century scientists: Dantzig, Friedman, and Sharpe among many others. His academic career took him to institutions the world over, with positions at City University of New York, London School of Economics, and the University of Tokyo. This intertwined with a robust career in industry, including stints at RAND, IBM, and CACI, where he had a significant impact. His life spanned a century of tremendous development, filled with incredible (and at times unbelievable) history and many valued contributions to the sciences.

In this talk we look over Markowitz' life, reviewing the discoveries he made along the way and the influence he had on the direction of so many fields.

Keywords

Status: accepted

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