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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…mehr

Produktbeschreibung
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.

Autorenporträt
John B. Guerard, Jr., Ph.D., is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska. He earned his AB in Economics from Duke University, MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. John taught at the McIntire School of Commerce, the University of Virginia, Lehigh University, and Rutgers University. John taught as an adjunct faculty member at the International University of Monaco and the University of Pennsylvania. He worked with the DAIS Group at Drexel, Burnham, Lambert, Daiwa Securities Trust Company, Vantage Global Advisors, and served on the Virtual Research team at GlobeFlex Capital. John co-managed a Japanese equity portfolio with Harry Markowitz at Daiwa Securities Trust Company. While serving as Director of Quantitative Research at Vantage Global Advisors (formerly MPT Associates), Mr. Guerard was awarded the first Moskowitz Prize for research in socially responsible investing. Mr. Guerard has published several monographs, including The Handbook of Financial Modeling (Probus, 1989, with H.T. Vaught), Corporate Financial Policy and R&D Management (Wiley, 2006, second edition), and Quantitative Corporate Finance (Springer, 2007, with Eli Schwartz). John serves an Associate Editor of the Journal of Investing and The International Journal of Forecasting. Mr. Guerard has published research in The International Journal of Forecasting, Management Science, the Journal of Forecasting, Journal of Investing, Research in Finance, Research Policy, and the Journal of the Operational Research Society.
Rezensionen
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)