{"title":"Harry Markowitz, the Cowles Commission, and portfolio theory","authors":"Robert W. Dimand","doi":"10.1007/s10479-024-06223-x","DOIUrl":null,"url":null,"abstract":"<p>Harry Markowitz’s pioneering work on portfolio choice was developed in the supportive environment of the Cowles Commission (later Foundation), a remarkable organization devoted to advanced formal mathematical and statistical methods in economics. Markowitz made use of Tjalling Koopmans’s activity analysis and influenced the monetary and financial economics of James Tobin and his Cowles associates, who studied the implications for economic equilibrium of investors following Markowitz’s optimal portfolio diversification. Milton Friedman’s reluctance to accept Markowitz’s dissertation was part of growing methodological frictions between Friedman and the Cowles Commission that led the commission to leave the University of Chicago to become the Cowles Foundation at Yale.</p>","PeriodicalId":8215,"journal":{"name":"Annals of Operations Research","volume":"9 1","pages":""},"PeriodicalIF":4.4000,"publicationDate":"2024-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Operations Research","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1007/s10479-024-06223-x","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 0
Abstract
Harry Markowitz’s pioneering work on portfolio choice was developed in the supportive environment of the Cowles Commission (later Foundation), a remarkable organization devoted to advanced formal mathematical and statistical methods in economics. Markowitz made use of Tjalling Koopmans’s activity analysis and influenced the monetary and financial economics of James Tobin and his Cowles associates, who studied the implications for economic equilibrium of investors following Markowitz’s optimal portfolio diversification. Milton Friedman’s reluctance to accept Markowitz’s dissertation was part of growing methodological frictions between Friedman and the Cowles Commission that led the commission to leave the University of Chicago to become the Cowles Foundation at Yale.
期刊介绍：
The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications.
In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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