![]() I figured out the algorithm from sample code (in a different programming language) in a 1987 book by Harry Markowitz, Mean-Variance Analysis in Portfolio Choice and Capital Markets. The optimizer, but to do that, I would have to learn the object-oriented programming language and figure out an optimization algorithm., I took a week-long class to learn the programming language. We decided to do this in an object-orient programming language that was specifically designed for writing Windows application. When Windows 3.0 came out, we decided to replace Sharpe’s software with entirely new software that would work with a newly designed databased of asset classes indices. The main component of an asset allocation system is a mean-variance optimizer based on the work of one of Sharpe’s co-laureates of the Nobel Prize, Harry M. It was when I was at Ibbotson Associates that I learned about asset allocation and asset allocation software. Sharpe (who later won a share of the 1990 Nobel Memorial Prize in Economic Sciences.) It sold this data with the option of including asset allocation software written by William F. It collected hundreds of time-series of returns on a wide variety of asset class indices. (Ibbotson sold the firm to Morningstar in 2006, seven years after I had left and joined Morningstar.) The firm’s primary expertise was in asset allocation. Ibbotson Associates was founded and owned by Professor Roger Ibbotson of the Yale School of Management. It was while I was at Ibbotson Associates that I earned the CFA designation. My first job in the private sector was with a small firm in downtown Chicago called Ibbotson Associates. My Entry into the Workforce: Ibbotson Associates My dissertation consisted of two parts: (1) the presentation of an asset pricing model in which the issuance of government bonds can have an impact of all security prices (including stocks), and (2) the estimation of an econometric model of security returns. I read the book, and based on what the professor was teaching, I decided to write my PhD dissertation on financial economics. He also recommended the book, A Random Walk Down Wall Street by Burton Malkiel. He started the class by introducing some elements of financial economics and financial econometrics. ![]() It was taught by a professor at the University of Chicago who was visiting Northwestern. One of the classes that I took was a class in monetary economics. One of the things that I learned in econometrics is that if two time series both have trends, they will be correlated, even if they are unrelated. Later I would see how the economics of uncertainty is a foundation of financial economics, and how economics and statistics are the foundations for empirical finance. The classes that I took that gave me the skills that I would need in my professional career include microeconomics, econometrics, and the economics of uncertainty. Thus, economics is of great practical value.Īfter completing my bachelor’s degree at NYU, I went on the Northwestern University, where I completed by master’s and PhD degrees in economics. I also learned how economic models can have results that run contrary to many people’s intuition, and how economics be used to predict the unintended consequences of people’s actions and those of governments. The most important course that I took was in microeconomics where for the first time, I learned how economists build models from the ground up, starting with assumptions of rational behavior on the parts of consumers and firms. (There were very few required courses at NYU in those days, so triple majoring was possible). While I did continue to study those subjects, I took more and more economics classes to the point where I was able to triple major in mathematics, computer science, and economics. I attended New York University (NYU) in lower Manhattan with the intention of studying mathematics and computer science. Preparing Me for Life: College and Graduate School While I don’t remember exactly what she taught, it was this teacher that inspired me to take my first economics course in college. In New York public high schools, a one semester class in economics was a mandatory part of the social studies curriculum. The greatest influence on me in high school was my economics teacher. ![]() As with mathematics, I came to love computer programming and continued to develop my skills throughout my schooling and career. I also got my first exposure to computer programming in junior high school and continued learning it throughout high school. ![]()
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