Springer – 2010, 807 pages
ISBN: 0387774386, 0387774394Puts a contemporary spin on the Markowitz models and techniques that have served as the foundation for portfolio construction and analysis for fifty years
Features prominent academics and practitioners in the field, including Nobel Prize winners Paul Samuelson, Eli Schwartz (Lehigh University), C.F. Lee (Rutgers University), Makoto Suzuki (Daiwa Securities), and John Mulvey (Princeton University); also contains a forward by Harry Markowitz
Offers comprehensive coverage, including worked examples and practical illustrations of all major tools, models and techniques
Financial portfolio construction and risk management is a popular topic in MBA programs and academic research with practical applications in money management and corporate strategy; the book blends theory, rigorous quantitative techniques and practice.Contents:
Markowitz for the Masses: Portfolio Construction Techniques
Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques
John B Guerard, Jr
Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models
John B Guerard, Jr
Markowitz Applications in the 1990s and the New
Century: DataMining Corrections and the 130/30
John B Guerard, Jr
Markowitz’s Mean–Variance Rule and the Talmudic
Diversification Recommendation
Haim Levy and Ran Duchin
On the Himalayan Shoulders of HarryMarkowitz
Paul A Samuelson
Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework
Andrew H Chen, Frank J Fabozzi, and Dashan Huang
Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory153
James H VanderWeide
Harry Markowitz and the Early History of Quadratic Programming
Richard W Cottle and Gerd Infanger
Ideas in Asset and Asset–Liability Management in the Tradition of HM Markowitz
William T Ziemba
Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration
Bernell K Stone and John B Guerard, Jr
Robust Portfolio Construction
R Douglas Martin, Andrew Clark, and Christopher G Green
Owitz and the Expanding Definition of Risk: Applications of Multi-Factor Risk Models
Applying Markowitz’s Critical Line Algorithm
Andras Niedermayer and Daniel Niedermayer
FactorModels in Portfolio and Asset Pricing Theory
Gregory Connor and Robert A Korajczyk
Applications of Markowitz Portfolio Theory To Pension Fund Design
Edwin J Elton, Martin J Gruber, and Christopher R Blake
Global Equity Risk Modeling
Jose Menchero, Andrei Morozov, and Peter Shepard
What Matters Most in Portfolio Construction?
Dean M Petrich and Ronald N Kahn
Risk Management and Portfolio Optimization for Volatile Markets
Svetlozar T Rachev, Borjana Racheva-Iotova, Stoyan
V Stoyanov, and Frank J Fabozzi
Applications of Portfolio Construction, Performance
Measurement, and Markowitz DataMining Corrections Tests - Linking Momentum Strategies with Single-Period Portfolio Models
John M Mulvey,Woo Chang Kim, and Mehmet Bilgili
Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with HarryMarkowitz
Bruce I Jacobs and Kenneth N Levy
Evaluating Hedge Fund Performance: A Stochastic Dominance Approach
Sheng Li and Oliver Linton
Multiportfolio Optimization: A Natural Next Step
Martin WP Savelsbergh, Robert A Stubbs, and Dieter Vandenbussche
Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers: Theory and Evidence
Cheng-few Lee, Alice C Lee, and Nathan Liu
Case Closed
Robert A Haugen and Nardin L Baker
Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30Models
John B Guerard, Jr, Sundaram Chettiappan, and GanLin Xu
Distortion Risk Measures in Portfolio Optimization
Ekaterina N Sereda, EfimM Bronshtein, Svetozar T Rachev, Frank J Fabozzi,Wei Sun, and Stoyan V Stoyanov
A Benefit from the Modern Portfolio Theory for Japanese Pension Investment
Makoto Suzuki
Private Valuation of Contingent Claims in a Discrete Time/State Model
Alan J King, Olga Streltchenko, and Yelena Yesha
Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index
Dimitrios D Thomakos and Tao Wang
The Application of Modern Portfolio Theory to Real Estate: A Brief Survey
TimothyW Viezer
About the Editor and Contributors
Index
