Handbook of Portfolio Construction

Handbook of Portfolio Construction

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Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the qefficient frontierq to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of todaya€™s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.3.6 Summary In the 1990a€“2007 period, Markowitz addressed issues of using fundamental variables in stock selection, portfolio ... a€œInvestment Performance of Common Stocks in Relations to their Price Earnings Ratios: A Test of Market Efficiency. ... a€œThe Fitting of Power Series, Meaning Polynomials, Illustrated on Bank-Spectroscopic Data, a€ Technometrics 16, 147a€“185. ... Principles of Corporate Finance. 8th edition. New York: McGraw-Hill/Irwin, Chapter 8. Brown, L.D. 1999 and 2008.

Title:Handbook of Portfolio Construction
Author:John B. Guerard, Jr.
Publisher:Springer Science & Business Media - 2009-12-12


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