Monday, October 14, 2013

2013 Nobel Laureates in Economic Sciences -- Reflections and Connections

This time of the year is when the Nobel Prizes get announced (and it is also the time of the year when several of our major conferences take place including the INFORMS one) so there is a lot of anticipation, drama, and excitement.

The 2013 recipients of the Nobel Prize in Economic Sciences are: Professors Eugene Fama and Lars Peter Hansen of the University of Chicago and Professor Robert Shiller of Yale. They are receiving the Nobel prize "for their empirical analysis of asset prices."
Photo courtesy of TT/Claudio Bresciani/AP

What continues to amaze me is the connections between economic sciences, including computational economics,  and operations research and the management sciences, over the span of Nobel Prize recipients  in Economic Sciences. The first Nobel Prize in Economic Sciences was given back in 1969 and the full list of recipients (one female to-date, Elinor Ostrom) can be found here on the official Nobel site.

For example, Eugene Fama has published in Management Science: "Three Asset Cash Balance and Dynamic Portfolio Problems." Gary D. Eppen and Eugene F. Fama; Management Science, 1971, 17(5, Theory Series), pp. 311-19.

Also I cited Fama's work in my Financial Networks book, co-authored with a former doctoral student of mine, Stavros Siokos, who actually received his PhD from UMass Amherst in Industrial Engineering and Operations Research and is an extremely successful financier, based in London. We cite Fama's work in the ninth chapter.

As for Lars Peter Hansen, I crossed paths with him back in 2010, when he, Professor Andrew Lo of MIT, and David Marshall organized the Measuring Systemic Risk Conference, which took place in December in Chicago. I spoke on Financial Networks and I acknowledged Hansen on the second page of my talk. Joining me was my wonderful colleague in Finance, who was Professor Lo's doctoral student at MIT, Mila Getmansky Sherman.

Professor Shiller I have never met but I have met his colleague, Karl Case, and have written about their joint work and about NSF and entrepreneurship on this blog.

As for the only female Nobel laureate in Economic Sciences, I will never forget meeting Dr. Elinor Ostrom, when she spoke at UMass Amherst and I brought one of my PhD students with me, who is now Dr. Min Yu. Elinor would visit and work closely with my colleagues at the School of Business, Economics and Law at the University of Gothenburg in Sweden where I have held  a Visiting Professorship.

Along with Professor Hans Amman, I have coedited the Advances in Computational Economics book series (started with Kluwer and now with Springer) and the Nobel laureate, Daniel McFadden, was on our editorial board even before he received the Nobel Prize and I have dined with him at one of our Computational Economics conferences. Chris Sims and Tom Sargent I also met at a Computational Economics conference.  My first book, Network Economics: A Variational Inequality Approach, was the first book in the Advances in Computational Economics book series and it continues to be my most highly-cited work. Its second edition came out in 1999.

And, of course, who can ever forget meeting Paul Samuelson, whose work I have cited since I was a doctoral student at Brown University. As for the Nobel laureate Harry Markowitz, whose work in portfolio optimization I have cited numerous times, I met him at an INFORMS conference in an elevator -- he is over a foot taller than I am!

My INFORMS colleague and fellow blogger. Professor Mike Trick of CMU, wrote last year on Shapley and Roth receiving the Nobel in Economic Sciences and connections to operations research and the management sciences.