Harry Markowitz and the Philosopher’s Stone
纪念哈里·马科维茨（1927-2023）的生平、工作与学术遗产，回顾其马科维茨优化（MVO）对投资组合构建和资产配置的71年指导，并针对MVO第一阶段输入（预期收益与风险）的估计难题，提出一种贝叶斯方法。
We celebrate the life, work, and intellectual legacy of Harry Markowitz (1927–2023). Professor Markowitz’s philosophy and math have guided portfolio construction and asset allocation for 71 years. Markowitz optimization (MVO) was set forth in his 1952 University of Chicago Ph.D. dissertation. We trace the links from his work to William Sharpe’s CAPM and the investment giants who followed. MVO has been challenged and enhanced and has endured. But Markowitz did leave us the task of figuring out how to estimate the “stage one” inputs for MVO, which are expected return and risk. (Stage two is running the optimizer.) We propose a Bayesian approach to crafting those inputs.