Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques (Hardback)John B. Guerard (editor)
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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.
Publisher: Springer-Verlag New York Inc.
Number of pages: 794
Weight: 2860 g
Dimensions: 235 x 155 x 42 mm
Edition: 2010 ed.
From the reviews:"The handbook is a peer-reviewed collection of papers on research and practical advances of portfolio construction management and measurement analysis that followed the first rigorous method for selecting optimal portfolios presented by Harry Markowitz more than half of a century ago. ... The handbook provides a valuable coverage of the rich developments in the field of portfolio construction management, that every professional investment manager may find useful and applicable to his/her particular interests." (Christina Diakaki, Zentralblatt MATH, Vol. 1192, 2010)
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