In Memoriam
In Memoriam
(1944 - 2019)
(1944 - 2019)
Mark Rubinstein died on May 9, 2019, at the age of 74.
He was a “giant” in his field.
Tributes to him were published by the Haas School of Business at the University of California, Berkeley (Prof. Emeritus Mark Rubinstein financial engineering pioneer passes away – Berkeley Haas), and by the American Finance Association, which he served as president in 1993 (Sad News – Mark Rubinstein Passes Away – The American Finance Association.pdf).
In an interview that is now difficult to find online, he describes his “view of the world”: Derivatives Strategy – July’99_ The World According to Mark Rubinstein.pdf.
His book Options Markets (1985), co-authored with John Cox, was long regarded as the “bible” of derivatives.
His book Rubinstein on Derivatives (1999) was also translated into Italian, by my son Luca: Mark Rubinstein Derivati.pdf.
In his final book, A History of the Theory of Investments (2006), Mark Rubinstein presents and discusses the major contributions to financial theory from an unusual perspective: a chronological one. The first contribution he mentions is Leonardo of Pisa’s Liber Abaci (1202). Leonardo is better known as Fibonacci. At the end of the book, in the “Notes,” Rubinstein writes: “Too recently discovered to be included in this history is a 1940 paper of the Italian mathematician Bruno de Finetti, predating Markowitz and Roy by 12 years, which formulates mean-variance portfolio theory, including a justification for measuring risk by portfolio variance, the equation relating the covariances of security returns to the portfolio variance of return, mean-variance efficient sets, and a critical line algorithm to numerically solve the portfolio selection problem.”
In the same year, 2006, the Journal of Investment Management (JOIM) published three articles paying tribute to Bruno de Finetti:
Mark Rubinstein: “Bruno de Finetti and Mean-Variance Portfolio Selection”
Harry M. Markowitz: “de Finetti Scoops Markowitz”
Bruno de Finetti: “The Problem of Full-Risk Insurances” [translation of Chapter 1 of Il problema dei “Pieni”, Giornale dell’Istituto Italiano degli Attuari, Vol. 11, pp. 1–88, 1940; translated by Luca Barone].