Harry Markowitz

Formerly at the RAND Corporation, Markowitz won the Nobel Prize in 1990 while a professor of finance at Baruch College of the City University of New York.  Best known for his pioneering work in modern portfolio theory, studying the effects of asset risk, correlation and diversification on expected investment portfolio returns.

Bio (Wikipedia)
Homepage (UCSD)
Research (SSRN)
Nobel Citation (Nobel Foundation)