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Press Release

Lauren Ward

For immediate release:
August 15, 2005

Nobel Laureate Harry M. Markowitz To Present Nash Lecture at Carnegie Mellon, Sept. 14

PITTSBURGH—Harry M. Markowitz, a world-renowned financial expert who won the Nobel Prize in Economic Sciences in 1990, will present the Nash Distinguished Lecture at 4:30 p.m. Wednesday, Sept. 14, in Carnegie Mellon University's McConomy Auditorium. The lecture, entitled "Portfolio Theory: Past, Present and Future," is free and open to the public.

Developed by Markowitz in the 1950s, modern portfolio theory proposes that an efficient portfolio relies not on the risk of an individual security and its reward, but on the risk and reward of the entire portfolio. Portfolio theory now is a widely used tool in asset allocation, risk control and attribution analysis by institutional investors and financial planners.

"Harry Markowitz is a recognized innovator in the field of finance, and we are very fortunate that he could address Carnegie Mellon and the Pittsburgh community," said David Heath, the Orion Hoch Professor of Mathematical Sciences and head of Carnegie Mellon's interdisciplinary Center for Computational Finance, which hosts the Nash Lecture.

In 1990, Markowitz shared the Nobel Prize in Economics for developing a rigorously formulated operational theory for portfolio selection under uncertainty—a theory that evolved into a foundation for further research in financial economics, according to the Royal Swedish Academy of Sciences.

Markowitz is a research professor at the University of California at San Diego and president of the Harry Markowitz Company, which helps to extend and apply portfolio theory. He also is on the advisory board of Sungard Expert Solutions, a firm that supplies portfolio selection software to thousands of investment advisors.

In 1989, Markowitz was awarded the prestigious Von Neumann Prize in Operations Research Theory for his work in portfolio theory, sparse matrix techniques and the SIMSCRIPT programming language. He also recently received the Man of the Century award from Pensions & Investments Magazine for his life's work in the field of investments.

The Nash lecture honors John F. Nash Jr., who won the 1994 Nobel Prize in Economics. Nash earned his bachelor's and master's degrees in mathematics in 1948 from Carnegie Institute of Technology and his doctor's degree from Princeton University in 1950. In 1994, Nash, along with John Harsanyi and Reinhard Selten, received the Alfred Nobel Memorial Prize in Economic Sciences for his pioneering analysis of equilibria in the theory of non-cooperative games. This work, sometimes called the Nash Equilibrium, has greatly influenced research in economics and finance.

For more information about the Center for Computational Finance, please contact Mike Laffin at Carnegie Mellon's Tepper School of Business at 412-268-3486 or Lauren Ward at the university's Mellon College of Science at 412-268-7761.


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