Trained as a mathematics major at Haverford College, he completed Harvard Business School with distinction in 1955 and stayed on for a year afterwards writing cases for Professor Robert Anthony.
Treynor noticed, however, that when the stream of benefits lasted that long, its present value was extremely sensitive to the choice of discount rate; simply by changing the rate, a desirable project could appear undesirable, and vice versa.
Treynor resolved to try to understand the relation between risk and the discount rate, and this was the impetus for his most famous "idea in the rough", the Capital Asset Pricing Model.
Treynor began working in the Operations Research department at the consulting firm Arthur D. Little (ADL) in 1956.
In 1958, he spent his three weeks of summer vacation in a cottage in Evergreen, Colorado, and generated 44 pages of mathematical notes on the risk problem.
One of Treynor's Chicago-trained ADL colleagues, Stephen Sobotka, sent the draft to Merton Miller.
He served a dozen years as the editor of the Financial Analysts Journal, helping authors to present their ideas coherently and with clarity.
Some of Treynor's writings were originally published under his own name and others under his nom de plume, "Walter Bagehot".