Harry M. Markowitz

Harry M. Markowitz

Past Awards

INFORMS Elected Fellows: Awardee(s)

John von Neumann Theory Prize: Winner(s)

Harry M. Markowitz received the 1989 John von Neumann Theory Prize. Dr. Markowitz, presenter Ellis Johnson noted, contributed ground-breaking work in three areas: portfolio selection, mathematical programming, and simulation.

Harry Markowitz is the Marvin Speiser Distinguished Professor of Finance and Economics at Baruch College, NYC. He developed the portfolio selection model in his Ph.D. thesis at the University of Chicago. First published in 1952, today his model is one of the most widely used quantitative tools for investment analysis.

During the late 50s Markowitz worked on mathematical programming at the RAND Corp. and also did his ground-breaking work on factoring bases and maintaining sparsity in the course of solving linear programs, in effect introducing the triangularization or LU factorization in place of inversion of the basis. His selection criterion for reducing fill-in when forming basis factors is the well-known Markowitz criterion and is still used in state-of-the-art codes for both LU and Cholesky factorizations. Markowitz's third main area of activity involved codifying the underlying notions of simulation by defining a world view composed of entities having attributes and belonging to sets that have defined relationships with each other. The state of the world changes through events, which are triggered by time. Based on this, in the 60s he developed a high-level simulation language, SIMSCRIPT, and in the 80s has collaborated with IBM researchers to develop EAS-E, an integrated data base, modeling and applications development language.

Dr. Markowitz told OR/MS Today that the award was a great honor and a reflection of the influence of von Neumann on portfolio theory.