Portfolio Wisdom from Legends: Insights from Harry Markowitz and William Ziemba

In this paper, we consider the contributions of Harry Markowitz and William Ziemba to portfolio theory. Those legendary scholars worked on the theory and practice of investing for decades, with lasting impact. The insights from their work were acquired through years of involvement with complex financial markets. We will look at their insights through the integrative model of Risk Sensitive Investment Management (RSIM). The RSIM model is analytic, and the model investment strategy formula reveals the place of the insights from Markowitz and Ziemba in optimal decisions.