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经济学家日历:哈里·马科维茨
作者: 发布时间:2007-11-25 15:08:06 来源: 点击数:135


Harry Markowitz
(born August 24, 1927)

Harry Markowitz

[Categories: Prize in Economics winners, Economists, 1927 births]

Harry Max Markowitz (born August 24, 1927) is an influential(An expert in the science of economics) economist at(Click link for more info and facts about City University of New York) City University of New York and winner of the(Click link for more info and facts about Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel) Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel in 1990.

He is best known for his pioneering work in(Click link for more info and facts about Modern Portfolio Theory) Modern Portfolio Theory, studying the effects of asset(A venture undertaken without regard to possible loss or injury) risk,(A statistical relation between two or more variables such that systematic changes in the value of one variable are accompanied by systematic changes in the other) correlation and(The act of introducing variety (especially in investments or in the variety of goods and services offered)) diversification on expected investment portfolio returns.

A Markowitz Efficient Portfolio is one where no added diversification can lower the portfolio's risk for a given return expectation (alternately, no additional expected return can be gained without increasing the risk of the portfolio). The Markowitz Efficient Frontier is the set of all portfolios that will give you the highest expected return for each given level of risk. These concepts of efficiency were essential to the development of the(Click link for more info and facts about Capital Asset Pricing Model) Capital Asset Pricing Model.

Harry M. Markowitz – Autobiography

I was born in Chicago in 1927, the only child of Morris and Mildred Markowitz who owned a small grocery store. We lived in a nice apartment, always had enough to eat, and I had my own room. I never was aware of the Great Depression.

Growing up, I enjoyed baseball and tag football in the nearby empty lot or the park a few blocks away, and playing the violin in the high school orchestra. I also enjoyed reading. At first, my reading material consisted of comic books and adventure magazines, such as The Shadow , in addition to school assignments. In late grammar school and throughout high school I enjoyed popular accounts of physics and astronomy. In high school I also began to read original works of serious philosophers. I was particularly struck by David Hume's argument that, though we release a ball a thousand times, and each time, it falls to the floor, we do not have a necessary proof that it will fall the thousand-and-first time. I also read The Origin of Species and was moved by Darwin's marshalling of facts and careful consideration of possible objections.

From high school, I entered the University of Chicago and took its two year Bachelor's program which emphasized the reading of original materials where possible. Everything in the program was interesting, but I was especially interested in the philosophers we read in a course called OII: Observation, Interpretation and Integration.

Becoming an economist was not a childhood dream of mine. When I finished the Bachelor's degree and had to choose an upper division, I considered the matter for a short while and decided on Economics. Micro and macro were all very fine, but eventually it was the "Economics of Uncertainty" which interested me--in particular, the Von Neumann and Morgenstern and the Marschak arguments concerning expected utility; the Friedman-Savage utility function; and L. J. Savage's defense of personal probability. I had the good fortune to have Friedman, Marschak and Savage among other great teachers at Chicago. Koopmans' course on activity analysis with its definition of efficiency and its analysis of efficient sets was also a crucial part of my education.

At Chicago I was invited to become one of the student members of the Cowles Commission for Research in Economics. If anyone knows the Cowles Commission only by it influence on Economic and Econometric thought, and by the number of Nobel laureates it has produced, they might imagine it to be some gigantic research center. In fact it was a small but exciting group, then under the leadership of its director, T. Koopmans, and its former director, J. Marschak.

When it was time to choose a topic for my dissertation, a chance conversation suggested the possibility of applying mathematical methods to the stock market. I asked Professor Marschak what he thought. He thought it reasonable, and explained that Alfred Cowles himself had been interested in such applications. He sent me to Professor Marshall Ketchum who provided a reading list as a guide to the financial theory and practice of the day.

The basic concepts of portfolio theory came to me one afternoon in the library while reading John Burr Williams's Theory of Investment Value. Williams proposed that the value of a stock should equal the present value of its future dividends. Since future dividends are uncertain, I interpreted Williams's proposal to be to value a stock by its expected future dividends. But if the investor were only interested in expected values of securities, he or she would only be interested in the expected value of the portfolio; and to maximize the expected value of a portfolio one need invest only in a single security. This, I knew, was not the way investors did or should act. Investors diversify because they are concerned with risk as well as return. Variance came to mind as a measure of risk. The fact that portfolio variance depended on security covariances added to the plausibility of the approach. Since there were two criteria, risk and return, it was natural to assume that investors selected from the set of Pareto optimal risk-return combinations.

I left the University of Chicago and joined the RAND Corporation in 1952. Shortly thereafter, George Dantzig joined RAND. While I did not work on portfolio theory at RAND, the optimization techniques I learned from George (beyond his basic simplex algorithm which I had read on my own) are clearly reflected in my subsequent work on the fast computation of mean-variance frontiers (Markowitz (1956) and Appendix A of Markowitz (1959)). My 1959 book was principally written at the Cowles Foundation at Yale during the academic year 1955-56, on leave from the RAND Corporation, at the invitation of James Tobin. It is not clear that Markowitz (1959) would ever have been written if it were not for Tobin's invitation.

My article on "Portfolio Selection" appeared in 1952. In the 38 years since then, I have worked with many people on many topics. The focus has always been on the application of mathematical or computer techniques to practical problems, particularly problems of business decisions under uncertainty. Sometimes we applied existing techniques; other times we developed new techniques. Some of these techniques have been more "successful" than others, success being measured here by acceptance in practice.

In 1989, I was awarded the Von Neumann Prize in Operations Research Theory by the Operations Research Society of America and The Institute of Management Sciences. They cited my works in the areas of portfolio theory, sparse matrix techniques and the SIMSCRIPT programming language. I have written above about portfolio theory. My work on sparse matrix techniques was an outgrowth of work I did in collaboration with Alan S. Manne, Tibor Fabian, Thomas Marschak, Alan J. Rowe and others at the RAND Corporation in the 1950s on industry-wide and multi-industry activity analysis models of industrial capabilities. Our models strained the computer capabilites of the day. I observed that most of the coefficients in our matrices were zero; i.e. , the nonzeros were "sparse" in the matrix, and that typically the triangular matrices associated with the forward and back solution provided by Gaussian elimination would remain sparse if pivot elements were chosen with care. William Orchard-Hayes programmed the first sparse matrix code. Since then considerable work has been done on sparse matrix techniques, for example, on methods of selecting pivots and of storing the nonzero elements. Sparse matrix techniques are now standard in large linear programming codes.

During the 1950s I decided, as did many others, that many practical problems were beyond analytic solution, and that simulation techniques were required. At RAND I participated in the building of large logistics simulation models; at General Electric I helped build models of manufacturing plants. One problem with the use of simulation was the length of time required to program a detailed simulator. In the early 1960s, I returned to RAND for the purpose of developing a programming language, later called SIMSCRIPT, which reduced programming time by allowing the programmer to describe (in a certain stylized manner) the system to be simulated rather than describing the actions which the computer must take to accomplish this simulation. The original SIMSCRIPT compiler was written by B. Hausner; its manual by H. Karr who later co-founded a computer software company, CACI, with me. Currently SIMSCRIPT II.5 is supported by CACI and still has a fair number of users.

I am sorry I cannot acknowledge all the people I have worked with over the last 38 years and describe what it was we accomplished. As each of these people know, I often considered work to be play, and derived great joy from our collaboration.

From Les Prix Nobel. The Nobel Prizes 1990, Editor Tore Frängsmyr, [Nobel Foundation], Stockholm, 1991

This autobiography/biography was written at the time of the award and later published in the book series Les Prix Nobel/Nobel Lectures. The information is sometimes updated with an addendum submitted by the Laureate. To cite this document, always state the source as shown above.

现代资产选择理论的发展人
作者 : 陈桂玲


  第二十二届获奖者哈里·马克维茨——现代资产选择理论的发展人

  哈里·马克维茨主要因其在1952年首次发表的一篇题为《资产组合选择》的文章而获诺贝尔经济学奖,以后他又将该论文充实成一本书《资产组合选择:有效的分散化》(1959)。资产组合选择理论源于一种供投资经理们用的规范性理论,即财富在期望报酬和风险不同的资产中如何实现最优投资的理论。当然,投资经理们和学院经济学家们都明白必须同时考虑报酬和风险,即“所有鸡蛋不要放在同一个篮子里。”马克维茨的主要贡献是发展在一个不确定条件下选择资产组合的严格公式化的、操作性强的理论——这个理论进一步演变成研究金融经济学的基础。

  ——1990年瑞典皇家科学院贺辞

  

  哈里·马克维茨(Harry Markowitz)

  1927年8月24日,哈里·马克维茨生于美国伊诺斯州的芝加哥。1947年,他从芝加哥大学经济系毕业,获得学士学位。

  研究经济学并非他童年的梦想,他是在拿到学士学位之后选择硕士专业时才决定读经济学的。微观经济学和宏观经济学他都学得很好,但是他最感兴趣的是不确定性经济学,特别是冯·诺伊曼和摩根斯坦及马夏克关于预期效用的论点以及弗里德曼—萨凡奇效用函数和萨凡奇对个人概率的辩解。

  马克维茨的简历如下:

  1952~1960年及1961~1963年任美国兰德公司副研究员;

  1960~1961年任通用电器公司顾问;

  1963~1968年任联合分析研究中心公司(Consolidated Analysis Centers Inc.)董事长;

  1968~1969年任加利福尼亚大学洛杉矶分校金融学教授;

  1969~1972年任仲裁管理公司(Arbitrage Management Co.)董事长;

  1972~1974年任仲裁管理公司顾问;

  1972~1974年任宾夕法尼亚大学沃顿(Wharton)学院金融学教授;

  1974~1983年任国际商用机器公司(IBM)研究员;

  1980~1982年任拉特哥斯(Rutgers)大学金融学副教授,1982年晋升为该校Marrin Speiser讲座经济学和金融学功勋教授;

  现任纽约市立大学巴鲁克学院教授。

  马克维茨还被选为耶鲁大学考尔斯(Cowels)经济研究基金会员、美国社会科学研究会员、美国经济计量学会会员、管理科学研究所董事长、美国金融学会主席等。

  主要学术贡献

  马克维茨之所以荣获1990年诺贝经济学奖,是因为他“对现代金融经济学理论的开拓性研究,为投资者、股东及金融专家们提供了衡量不同金融资产投资的风险和收益的工具,以估计预测股票、债券等证券的价格”。马克维茨与另外两位获奖者的理论阐释了下述问题:在一个给定的证券投资总量中,如何使各种资产的风险与收益达到均衡;如何以这种风险和收益的均衡来决定证券的价格以及税率变动或企业破产等因素又怎样影响证券的价格。马克维茨的突出贡献是发展了资产选择理论。他于1952年发表的经典之作《资产选择》一文,将以往个别资产分析推进一个新阶段,他以资产组合为基础,配合投资者对风险的态度,进而进行资产选择的分析,由此产生了现代的有价证券投资理论。

  马克维茨关于资产选择理论的分析方法,有助于投资者选择最有利的投资组合,使其投资报酬最高,而风险最小。

  在有效市场假说产生和发展的同时,马克维茨于1952年把可能收益率的分布,以其方差为度量,来求得资产组合的风险。方差度量可能的收益率依赖于平均收益率的离散程度,离散程度越大,标准差就越高,意味着股票的风险越大。再结合奥斯本的期望收益率的概念,就可以得出在给定风险水平下投资者会要求得到期望收益率最高的资产组合。马克维茨的方法以“均值/方差有效性”知名,理性投资者将会选择其“有效边界”上的最优资产组合,即投资者是回避风险型的。

  在此基础上,夏普于1964年、利特纳于1965年和莫辛于1966年将EMH和马克维茨的资产组合理论结合起来,以资本资产定价模型命名,建立了一个以一般均衡框架中的理性预期为基础的投资者行为模型CAPM。此模型假定投资者有着同质的收益率预期,以相同的方式解读信息,而风险被再次定义为收益率的标准差,这样投资者在奥斯本和马克维茨意义上都是理性的。以此假定为前提,CAPM就投资者行为得出一系列结论:首先,对于所有投资者,最优资产组合都是市场资产组合,投资者不会为承担非市场风险得到补偿,因为最优资产组合是沿着资本市场线进行的;第二,高风险资产应为高收益率的补偿,由于风险现已与市场资产组合相联系,所以可以使用证券风险对于市场风险敏感性的线性度量,即贝塔(β),把所有的风险资产按它们的贝塔与期望收益率标识出来,从而得到一条截Y轴、无风险利率并经过市场资产组合的证券市场线,投资者的最优投资决策就沿该线进行。

  马克维茨的资产组合理论解释了为什么多样化可以降低风险,而CAPM解释了理性投资者将如何行动,从而使该理论保持了有关投资者行为模型的标准的地位(投资者以线性方式对信息做出反应,他们不以累积的方式对一个事件做出反应)。

  著作点击

  马克维茨的主要学术著作有:

  《资产组合选择:有效的分散化》(1970);

  《Simscript:一种模拟程序设计语言》(合作,1963);

  《过程分析研究广义经济性质的生产能力》(合作,1967);

  《第二代Simscript程序设计语言》(合作,1969);

  《EAS—E程序设计语言》(合作,1981);

  《逆偏差》(合作,1981);

  《资产选择与资本市场中的均值——方差分析》(1987)。

  论文主要包括:《资产选择——有效的分散化》(1952);《财富的效用》(1952);《过程分析的性质及其应用》(1954);《线性约束条件下的二次函数最优解》(1956);《关于离散规划问题的解》(合作,1957);《长期投资—一条旧规则的新证据》(1976);《资产分析要素与方案》(合作,1981);《非负与非非负:资本资产定价模型质疑》(合作,1983);《平均方差与直接效用的最大化》(合作,1984);《投资规则、毛利与市场波动》(1989);《风险调节》(1990)。

哈里·马科维茨简历(Harry M. Markowitz)

  马科维茨先生1927年在芝加哥出生。中学毕业后,进入芝加哥大学,获得学士学位后,马科维茨选择了经济学。在芝加哥Markowitz成为考尔斯经济委员会的一名学生会员。Markowitz 论文的方向是把数理方法应用于股票市场。

  1952年Markowitz 离开芝加哥大学后加入兰德公司。1952年发表论文《投资组合选择》。1959年出版《投资组合选择:有效分散化》一书。在60年代初,Markowitz 返回兰德公司开发程序语言,即SIMSCRIPT. 还有,1987年《在投资组合选择和资本市场的均值-方差分析》;1991年《投资组合理论的基础》

  1989年,Markowitz被美国运筹学学会和管理科学协会授予冯-诺依曼奖.获奖原因是:在投资组合理论、稀疏矩阵计算以及模拟程序涉及语言(SIMSCRIPT)领域的一些工作。

  1990年Markowitz由于他1952年的论文《投资组合选择》和1959年出版的《投资组合选择:有效分散化》一书,被授予诺贝尔经济学奖。Markowitz的主要贡献是,发展了一个概念明确的可操作的在不确定条件下选择投资组合的理论-这个理论进一步演变成为现代金融投资理论的基础。

  Markowitz表明,在一定的条件下,一个投资者的投资组合选择可以简化为平衡两个因素,即投资组合的期望回报及其方差。风险可以用方差来衡量,通过分散化可以降低风险。投资组合风险不仅依赖不同资产各自的方差,而且也依赖资产的协方差。

  这样,关于大量的不同资产的投资组合选择的复杂的多维问题,就被约束成为一个概念清晰的简单的二次规划问题。即均值-方差分析。并且 Markowitz 给出了最优投资组合问题的实际计算方法。

  Markowitz的理论被誉为“华尔街的第一次革命”!
  
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