A Tribute to Harry Markowitz

Harry Markowitz has been widely and deservedly celebrated as the father of modern finance for having introduced mean-variance analysis. Yet, even as his mean-variance analysis gained traction in the industry, practitioners as well as academics began to question its generality and usefulness. One such critic was none other than Paul Samuelson, who engaged Markowitz in a long-running debate about the robustness of mean-variance analysis, which was resolved in Markowitz's favor. Additionally, Markowitz, along with Erik Van Dijk, introduced a quadratic heuristic that addressed the curse of dimensionality for a wide class of multistage problems, which was subsequently shown to work well. Markowitz would have liked both stories to be more generally known. The author was central to both stories and recounts them in this article.