论文信息 - A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe

A Portfolio of Nobel Laureates: Markowitz, Miller and Sharpe

Three pioneers of quantitative finance have now been justly honored: Harry Markowitz, Merton Miller, and William Sharpe received the Nobel Prize in Economic Science in 1990. From today's perspective it is hard to understand what finance was like before portfolio theory. Here I attempt to provide a very brief history of the quantitative revolution in finance, drawing upon P. Bernstein's Capital Ideas (1992) and accounts of the three Nobel laureates.

H. Varian

[1] G. Edwards,et al. The Theory of Investment Value. , 1939 .

[2] D. Durand. Costs of Debt and Equity Funds for Business: Trends and Problems of Measurement , 1952 .

[3] H. Markowitz. The optimization of a quadratic function subject to linear constraints , 1956 .

[4] J. Tobin. Liquidity Preference as Behavior towards Risk , 1958 .

[5] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .

[6] W. Sharpe. A Simplified Model for Portfolio Analysis , 1963 .

[7] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .

[8] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[9] H. Varian. The Arbitrage Principle in Financial Economics , 1987 .

[10] Merton H. Miller. The Modigliani-Miller Propositions after Thirty Years , 1988 .

[11] William F. Sharpe,et al. Capital Asset Prices With and Without Negative Holding , 1991 .

[12] Harry M. Markowitz,et al. Foundations of Portfolio Theory , 1991 .

[13] R. C. Merton,et al. Continuous-Time Finance , 1990 .