By Dr. Sam L. Savage
The prestigious Journal of Portfolio Management has just published a special issue in memory of Harry Markowitz, and I was honored by an invitation to contribute. I invited my old friend Ben C. Ball as my co-author. Together we applied Harry’s modern portfolio theory to petroleum exploration, as described in Ch. 28 of my book The Flaw of Averages, and changed the trajectory of my career.
The JPM article, written as a docudrama, chronicles meeting Ben in the1980s, Harry in the 1990s, and developing an application that I dubbed the Markowitzatron in the 2000’s while consulting to Shell. The work at Shell was really the dawn of the discipline of Probability Management.
An on-line version of the article is available here. You need to enter your name and email to gain access, then search for “Markowitzatron” to be taken to the article.
Harry Markowitz, 1927-2023
Sam Savage
Ben C. Ball
Copyright © 2024 Sam L. Savage