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Stephen Sexauer & Laurence Siegel on Remembering Harry Markowitz, the Father of Modern Finance
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Stephen Sexauer is SDCERA’s Chief Investment Officer and oversees SDCERA’s $17 billion pension Trust Fund, investment team, and investment consultants. Sexauer graduated from the University of Illinois with a BS in Economics and from the University of Chicago with an MBA in Economics and Finance.
Laurence B. Siegel is the Director of Research at the CFA Institute Research Foundation and a writer, speaker, and consultant. Siegel graduated from the University of Chicago with both a BA & a MBA. His website is http://www.larrysiegel.org.
Sexauer and Siegel describe the “bolt from the blue” represented by Harry Markowitz’s 1952 discovery of mean-variance optimization for investment portfolios. They indicate how optimization has been applied and misapplied, and suggest a new heuristic for combining optimizer outputs with other information.
Their published work on the topic can be found here: https://rpc.cfainstitute.org/en/research/financial-analysts-journal/2023/harry-markowitz-and-the-philosophers-stone
Financial Thought Exchange is brought to you by the CFA Institute Research Foundation. If you would like to support the show and our work, please use the following donation link: https://rpc.cfainstitute.org/en/research-foundation/donate
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