Harry Markowitz

University of California at San Diego

Research Professor and Nobel Laureate

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

  • University of California at San Diego

    • Email
    • Tel: (858) 534-3383
SCHOLARLY PAPERS

22

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SSRN CITATIONS
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39

CROSSREF CITATIONS

12

Scholarly Papers (22)

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1.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Robert D. Arnott, Campbell R. Harvey and Harry Markowitz
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 10,377 (986)
Citation 16

Abstract:

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Machine Learning, Data Science, Data Mining, Backtesting, Overfitting, Interpretable Classification, Interpretable Policy Design, Trading, Strategies, Anomalies, Selection Bias, Research Protocol

2.

The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization

Number of pages: 22 Posted: 19 Jul 2021
Sander Gerber, Harry Markowitz, Philip Ernst, Yinsen Miao, No Name and Paul Sargen
Hudson Bay Capital Management, LP, University of California at San Diego, Rice University, Fidelity Investments, Inc., affiliation not provided to SSRN and Hudson Bay Capital Management, LP
Downloads 3,427 (6,424)
Citation 3

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Gerber statistic, co-movement; robust covariance estimation, Markowitz mean-variance optimization, shrinkage method, historical covariance

3.

Can Noise Create Size and Value Effects?

AFA 2008 New Orleans Meetings Paper
Number of pages: 32 Posted: 10 Oct 2006 Last Revised: 26 Oct 2011
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,737 (18,790)
Citation 18

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noise, size effect, value effect

4.

Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks

Number of pages: 44 Posted: 10 Mar 2016
John Guerard, Shijie Deng, Robert Arthur Gillam, Harry Markowitz, Ganlin Xu and Ziwei Wang
Independent, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), McKinley Capital Management, LLC, University of California at San Diego, Guidedchoice.com and McKinley Capital Management, LLC
Downloads 267 (210,155)
Citation 2

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mean-variance portfolio theory, stock selection, robust regression

5.

A Further Analysis of Robust Regression Modeling in Global Stocks

Number of pages: 50 Posted: 20 Jun 2018
John Guerard, Ganlin Xu and Harry Markowitz
Independent, Guidedchoice.com and University of California at San Diego
Downloads 185 (297,160)
Citation 9

Abstract:

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6.

The Likelihood of Small Cap Premium Distributions

Number of pages: 28 Posted: 13 Nov 2013 Last Revised: 18 Dec 2020
Wynce Lam, Harry Markowitz and Sheldon McFarland
LWI Financial Inc., University of California at San Diego and Buckingham Wealth Partners
Downloads 164 (332,012)

Abstract:

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Bayesian Inference, Small Cap Premium, Likelihood

7.

A Non-Normal Principal Components Model for Security Returns

Number of pages: 20 Posted: 06 May 2019
Sander Gerber, No Name, Harry Markowitz, Paul Sargen and David Starer
Hudson Bay Capital Management, LP, affiliation not provided to SSRN, University of California at San Diego, Hudson Bay Capital Management, LP and Stevens Institute of Technology
Downloads 163 (332,012)
Citation 1

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8.

A Comparison of Some Aspects of the U.S. and Japanese Equity Markets

Japan and the World Economy, Vol. 5, 1993
Number of pages: 24 Posted: 12 Mar 2016
M. Bloch, John Guerard, Harry Markowitz, P. Todd and Ganlin Xu
Independent, Independent, University of California at San Diego, Independent and Guidedchoice.com
Downloads 98 (489,656)
Citation 2

Abstract:

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Equity market, optimized portfolios

9.

Risk and Lack of Diversification Under Employee Ownership and Shared Capitalism

NBER Working Paper No. w14229
Number of pages: 46 Posted: 01 Sep 2008 Last Revised: 19 Nov 2022
Joseph Blasi, Douglas L. Kruse and Harry Markowitz
Rutgers School of Management and Labor Relations - New Brunswick, Rutgers University and University of California at San Diego
Downloads 83 (543,514)
Citation 1

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10.

Retirement in the Next Decade: Expanding Scope and Scale

Retirement Management Journal, Vol. 5, No. 2, 2015
Number of pages: 6 Posted: 20 Jul 2023
Harry Markowitz and Sherrie E. Grabot
University of California at San Diego and Independent
Downloads 18 (961,226)

Abstract:

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retirement

11.

Financial Market Simulation

The Journal of Portfolio Management, Vol. 30, No. 5, 30th Anniversary Issue, pp. 142-152, September 2004
Posted: 31 Mar 2017
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

Abstract:

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financial market simulation, synchronous simulation, asynchronous simulation, continuous-time models, discrete-time models, financial market models, dynamic models, market simulation, Jacobs-Levy-Markowitz Market Simulator, JLM Market Simulator, JLM Sim

12.

Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions

Operations Research, Vol. 53, No. 4, pp. 586-599, July/August 2005
Posted: 31 Mar 2017
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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portfolio optimization, factor models, scenario models, fast algorithms, long-short investing, short selling, mean-variance efficiency, covariance matrix, diagonalizable covariance matrix, feasible portfolios, efficient frontiers, critical line algorithm, CLA

13.

Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management

Posted: 22 Jan 2015
John Guerard, Harry Markowitz and Ganlin Xu
Independent, University of California at San Diego and Guidedchoice.com

Abstract:

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Earnings Expectation, Momentum, Portfolio Construction

14.

The Supply and Demand of Alpha

Journal of Investment Management (JOIM), First Quarter 2011
Posted: 09 Apr 2011 Last Revised: 13 Apr 2011
Harry Markowitz, Robert Snigaroff and David Wroblewski
University of California at San Diego, Denali Advisors and Denali Advisors

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Supply and Demand, Alpha, Assets under Management, Financial Equilibrium, Institutional Investors, Robust Estimation, Inflow, Excess return

15.

Portfolio Theory: As I Still See it

Annual Review of Financial Economics, Vol. 2, pp. 1-23, 2010
Posted: 12 Nov 2010
Harry Markowitz
University of California at San Diego

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16.

Simulating Security Markets in Dynamic and Equilibrium Modes

Financial Analysts Journal, Vol. 66, No. 5, 2010
Posted: 15 Oct 2010
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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Quantitative Methods, Simulation Analysis, Portfolio Management

17.

Proposals Concerning the Current Financial Crisis

Financial Analysts Journal, Vol. 65, No. 1, 2009
Posted: 31 Jan 2009
Harry Markowitz
University of California at San Diego

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Advocacy, Regulatory, and Legislative Issues: Advocacy Issues, Regulatory and Legislative Activities

18.

Portfolio Optimization with Mental Accounts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 25 Jul 2008
Sanjiv Ranjan Das, Harry Markowitz, Jonathan Scheid and Meir Statman
Santa Clara University - Leavey School of Business, University of California at San Diego, Bellatore Financial, Inc. and Santa Clara University - Department of Finance

Abstract:

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19.

De Finetti Scoops Markowitz

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Posted: 03 Oct 2006
Harry Markowitz
University of California at San Diego

Abstract:

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de Finetti, mean-variance analysis, critical line algorithm

20.

Trimability and Fast Optimization of Long-Short Portfolios

Financial Analysts Journal, Vol. 62, No. 2, pp. 36-46, March/April 2006
Posted: 20 Jul 2006
Bruce I. Jacobs Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

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Portfolio Management, Asset Allocation, Investment Theory, Portfolio Theory, Quantitative Tools, Mathematical Methods, Alternative Investments, Hedge Fund Strategies

21.

Market Efficiency: A Theoretical Distinction and so What?

Financial Analysts Journal, Vol. 61, No. 5, pp. 17-30, September/October 2005
Posted: 28 Oct 2005
Harry Markowitz
University of California at San Diego

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Investment Theory, CAPM, APT, Other Pricing Theories, Efficient Market Theory

22.

Resampled Frontiers vs Diffuse Bayes: An Experiment

Journal Of Investment Management, Vol. 1, No. 4, Fourth Quarter 2003
Posted: 12 Apr 2004
Harry Markowitz and Nilufer Usmen
University of California at San Diego and Montclair State University - School of Business

Abstract:

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Resampled Frontier, Bayesian analysis, diffuse Bayes, mean-variance analysis, sampling errors, Michaud