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Handbook of Portfolio Construction - Contemporary Applications of Markowitz Techniques (Paperback, 2010 ed.)
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Handbook of Portfolio Construction - Contemporary Applications of Markowitz Techniques (Paperback, 2010 ed.)
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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 "efficient frontier" 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 today'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.
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