- Person
- Harry Markowitz
- Lived
- 1927–2023
- Field
- Financial economics
- From
- American
The story
During the 1950s Harry Markowitz concluded, as many others did, that many practical problems were beyond exact mathematical solution and needed simulation instead. At the RAND Corporation he helped build large logistics simulation models, and at General Electric he helped model manufacturing plants. The trouble was the length of time it took to program a detailed simulator.
In the early 1960s he returned to RAND to develop a new programming language, later called SIMSCRIPT. Instead of telling the computer step by step what actions to take, programmers could describe the system to be simulated in a stylised way, which cut programming time. Markowitz conceived the language with Bernard Hausner in 1962. Hausner wrote the original compiler and Herb Karr wrote the manual. SIMSCRIPT was a free-form, English-like language designed for large simulations of events unfolding over time, and it ran as a preprocessor for Fortran on the IBM 7090. Its first version included the buddy memory allocation method, which Markowitz also developed.
RAND released early versions of SIMSCRIPT into the public domain. In 1962 Markowitz and Karr founded California Analysis Center, Inc., later CACI, to support the language, and the company produced improved versions, SIMSCRIPT I.5 in 1965 and SIMSCRIPT II.5 in 1971. Markowitz noted in 1990 that CACI still supported SIMSCRIPT II.5 and that it still had a fair number of users.
SIMSCRIPT has been widely used to program simulations of manufacturing, transportation and computer systems, as well as war games. SIMSCRIPT II.5 remained in wide use for large-scale military and air-traffic control simulations, and later versions added object-oriented features and ran on modern Windows and Linux computers. The language also influenced the design of Simula, another early simulation programming language.
In 1989 the Operations Research Society of America and the Institute of Management Sciences cited SIMSCRIPT, together with his portfolio theory and sparse matrix techniques, when they awarded Markowitz the John von Neumann Theory Prize.
Why it matters
SIMSCRIPT made simulation practical for businesses and engineers, helping them design better factories, transport networks and computer systems.
About Harry Markowitz
Chicago grocer’s son whose 1952 paper ‘Portfolio Selection’ founded modern portfolio theory, the mathematics of diversification behind how the world invests. Nobel 1990.
More about Harry Markowitz
- Harry Markowitz developed buddy memory allocationHarry Markowitz developed the buddy memory allocation method, included in the first version of his SIMSCRIPT language, a technique for managing computer memory.
- Harry Markowitz showed how to compute efficient portfoliosHarry Markowitz developed the critical line algorithm, published in 1956, to compute the efficient frontier, the set of portfolios giving the best return for each level of risk.
- Harry Markowitz pioneered sparse matrix computingAt RAND in the 1950s Harry Markowitz saw that big economic models were mostly zeros, and devised sparse matrix techniques now standard for solving huge systems of equations.
- Harry Markowitz wrote the book on efficient diversificationHarry Markowitz’s 1959 book Portfolio Selection: Efficient Diversification of Investments, written at Yale’s Cowles Foundation, set out his theory in full.
- Harry Markowitz turned diversification into a scienceIn his 1952 paper “Portfolio Selection”, Harry Markowitz showed mathematically how investors can reduce risk through diversification, founding modern portfolio theory.
Sources
- Harry M. Markowitz: Biographical NobelPrize.org
- Harry Markowitz Wikipedia
- SIMSCRIPT Wikipedia
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