Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective

• Published in: Operations research Vol. 50; no. 1; pp. 154 - 160
• Main Author: Markowitz, Harry M
• Format: Journal Article
• Language: English
• Published: Linthicum INFORMS 01.01.2002; Institute for Operations Research and the Management Sciences
• Subjects: Algorithms; Analysis; Awards & honors; Computer programming; Economic research; Economics; Expected returns; Expected values; Finance; Financial portfolios; Fortran; Herbs; languages: SIMSCRIPT; Linear programming; linear: sparse matrices. Simulation; Modeling; Operations research; Personal profiles; Portfolio investments; Portfolio management; portfolio: origins of portfolio theory. Professional: comments on. Programming; Random variables; Reading; Security portfolios; Sparsity; Standard deviation; United States; United States > US

In 1989 I was pleased and honored to be awarded the ORSA/TIMS (now INFORMS) John von Neumann Theory Prize for my work in portfolio theory, sparse matrices, and SIMSCRIPT. The following is a retrospective on my work in these fields.