Our Academics
EUGENE FAMA
Eugene Fama founded the random walk hypothesis and the efficient market hypothesis. Well-respected in the field of economics, he also worked in collaboration with Kenneth French to define the Three-Factor Model. Fama’s research activities focus on theoretical and empirical work on investments; price formation in capital markets; corporate finance, and the economics of the survival of organizational forms.
HARRY MARKOWITZ
Harry Markowitz was the Nobel Prize Winner in Economic Sciences with Merton Miller and William Sharpe, 1990, for developing the theory of portfolio choice. This concept is one of the crucial factors in the development of the Modern Portfolio Theory.
WILLIAM SHARPE
Nobel Prize Winner in Economic Sciences, 1990, Sharpe was one of the originators of the capital asset pricing model. He also developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimizations, and returns-based style analysis for evaluating the style and performance of investment funds.
MERTON MILLER
(1923-2000). Nobel Prize Winner in Economic Sciences, 1990, and a 1943 Harvard graduate, Miller worked at the U.S. Treasury and Federal Reserve and then earned his Ph.D. from Johns Hopkins University in 1952. When teaching at Carnegie Tech, he met Franco Modigliani (Nobel Prize winner 1985) and together they developed the "M&M theorem." His work on the effect of firms' capital structure and dividend policy on market price significantly contributed to the Modern Portfolio Theory.
MYRON SCHOLES
Nobel Prize Winner in Economic Sciences with Robert C. Merton, 1997, for their work on the derivative pricing formula, Scholes was heavily involved with the Center for Research in Security Prices (CRSP), and he has published many articles on his own and in collaboration with other highly regarded academics such as Merton Miller and Fischer Black.
KENNETH FRENCH
In 1990, Kenneth French collaborated with Eugene Fama in determining what sources of risk the market systematically rewards with higher returns, and the result of their collaborative research is known as the Three-Factor Model. French is an expert on the behavior of security prices and investment strategies, and his research focuses on tests of asset pricing models, the trade-off between risk and return in domestic and international financial markets, the cost of capital, and the relation between capital structure and firm value.
