Another seminal paper…in finance

Here’s another paper every aspiring young statistician should read:

• Markowitz, H., "Portfolio Selection", The Journal of Finance, 7:1, 77-91 (March 1952). The foundation of modern portfolio theory. The paper has been criticized, amplified, even vilified, but it won Markowitz a share of the 1990 Nobel Prize in Economic Science. The idea is pretty easy: get rich by understanding covariance.

Markowitz is still going strong at the Rady School of Management at UC San Diego.