Harry Markowitz

University of California at San Diego

Research Professor and Nobel Laureate

9500 Gilman Drive

La Jolla, CA 92093-0508

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 19,987

SSRN RANKINGS

Top 19,987

in Total Papers Downloads

1,946

CITATIONS
Rank 17,472

SSRN RANKINGS

Top 17,472

in Total Papers Citations

19

Scholarly Papers (18)

1.

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, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Rayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,376 (9,724)
Citation 10

Abstract:

noise, size effect, value effect

2.

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

Number of pages: 33 Posted: 22 Jan 2015
John Guerard, Harry Markowitz and Ganlin Xu
McKinley Capital Management, LLC, University of California at San Diego and Guidedchoice.com
Downloads 125 (114,550)

Abstract:

Earnings Expectation, Momentum, Portfolio Construction

3.

The Likelihood of Small Cap Premium Distributions

Number of pages: 26 Posted: 13 Nov 2013 Last Revised: 17 Nov 2015
Wynce Lam, Harry Markowitz and Sheldon McFarland
LWI Financial Inc., University of California at San Diego and LWI Financial Inc.
Downloads 37 (288,908)

Abstract:

Bayesian Inference, Small Cap Premium, Likelihood

4.

Risk and Lack of Diversification Under Employee Ownership and Shared Capitalism

NBER Working Paper No. w14229
Number of pages: 46 Posted: 01 Sep 2008
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 36 (376,655)
Citation 5

Abstract:

5.

A Note on Semivariance

Mathematical Finance, Vol. 16, No. 1, pp. 53-61, January 2006
Number of pages: 9 Posted: 21 Jun 2006
Hanqing Jin, Harry Markowitz and Xun Yu Zhou
Chinese University of Hong Kong, University of California at San Diego and The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management
Downloads 11 (490,745)
Citation 3
  • Add to Cart

Abstract:

6.

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
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

Abstract:

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

7.

Financial Market Simulation

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

Abstract:

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

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, McKinley Capital Management, LLC, University of California at San Diego, Independent and Guidedchoice.com
Downloads 0 (413,605)
Citation 1

Abstract:

Equity market, optimized portfolios

9.

Investing in Global Equity Markets with Particular Emphasis on Chinese Stocks

Number of pages: 44 Posted: 10 Mar 2016
McKinley Capital Management, LLC, 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 0 (178,322)

Abstract:

mean-variance portfolio theory, stock selection, robust regression

10.

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, University of Alaska Fairbanks, Students and Denali Advisors

Abstract:

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

11.

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

Abstract:

12.

Simulating Security Markets in Dynamic and Equilibrium Modes

Financial Analysts Journal, Vol. 66, No. 5, 2010
Posted: 15 Oct 2010
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

Abstract:

Quantitative Methods, Simulation Analysis, Portfolio Management

13.

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

Abstract:

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

14.

Portfolio Optimization with Mental Accounts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 25 Jul 2008
Santa Clara University - Leavey School of Business, University of California at San Diego, Bellatore Financial, Inc. and Santa Clara University - Department of Finance

Abstract:

15.

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:

de Finetti, mean-variance analysis, critical line algorithm

16.

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
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego

Abstract:

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

17.

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

Abstract:

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

18.

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:

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