Ebook: Handbook of Portfolio Construction
- Tags: Financial Economics, Quantitative Finance, Finance /Banking
- Year: 2010
- Publisher: Springer US
- Edition: 1
- Language: English
- pdf
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction."
--Burton G. Malkiel, author of A Random Walk Down Wall Street
"Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting ‘optimal’ portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz’ formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the ‘Sharpe Ratio’ are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz’ original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry."
--Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management
"Before Markowitz, ‘finance’ referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he invented it."
--Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction."
--Burton G. Malkiel, author of A Random Walk Down Wall Street
"Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting ‘optimal’ portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz’ formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the ‘Sharpe Ratio’ are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz’ original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry."
--Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management
"Before Markowitz, ‘finance’ referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he invented it."
--Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction."
--Burton G. Malkiel, author of A Random Walk Down Wall Street
"Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting ‘optimal’ portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz’ formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the ‘Sharpe Ratio’ are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz’ original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry."
--Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management
"Before Markowitz, ‘finance’ referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he invented it."
--Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
Content:
Front Matter....Pages i-xv
Front Matter....Pages 1-1
Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques....Pages 3-30
Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models....Pages 31-60
Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30....Pages 61-96
Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation....Pages 97-123
On the Himalayan Shoulders of Harry Markowitz....Pages 125-132
Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework....Pages 133-151
Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory....Pages 153-177
Harry Markowitz and the Early History of Quadratic Programming....Pages 179-211
Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz....Pages 213-258
Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration....Pages 259-336
Robust Portfolio Construction....Pages 337-380
Front Matter....Pages 382-382
Applying Markowitz’s Critical Line Algorithm....Pages 383-400
Factor Models in Portfolio and Asset Pricing Theory....Pages 401-418
Applications of Markowitz Portfolio Theory To Pension Fund Design....Pages 419-438
Global Equity Risk Modeling....Pages 439-480
What Matters Most in Portfolio Construction?....Pages 481-492
Risk Management and Portfolio Optimization for Volatile Markets....Pages 493-508
Front Matter....Pages 510-510
Linking Momentum Strategies with Single-Period Portfolio Models....Pages 511-528
Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with Harry Markowitz....Pages 529-550
Evaluating Hedge Fund Performance: A Stochastic Dominance Approach....Pages 551-564
Front Matter....Pages 510-510
Multiportfolio Optimization: A Natural Next Step....Pages 565-581
Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers: Theory and Evidence....Pages 583-599
Case Closed....Pages 601-619
Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models....Pages 621-648
Distortion Risk Measures in Portfolio Optimization....Pages 649-673
A Benefit from the Modern Portfolio Theory for Japanese Pension Investment....Pages 675-690
Private Valuation of Contingent Claims in a Discrete Time/State Model....Pages 691-710
Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index....Pages 711-732
The Application of Modern Portfolio Theory to Real Estate: A Brief Survey....Pages 733-760
Erratum....Pages E1-E2
Back Matter....Pages 761-791
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction."
--Burton G. Malkiel, author of A Random Walk Down Wall Street
"Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting ‘optimal’ portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz’ formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the ‘Sharpe Ratio’ are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz’ original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry."
--Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management
"Before Markowitz, ‘finance’ referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he invented it."
--Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
Content:
Front Matter....Pages i-xv
Front Matter....Pages 1-1
Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques....Pages 3-30
Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models....Pages 31-60
Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30....Pages 61-96
Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation....Pages 97-123
On the Himalayan Shoulders of Harry Markowitz....Pages 125-132
Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework....Pages 133-151
Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory....Pages 153-177
Harry Markowitz and the Early History of Quadratic Programming....Pages 179-211
Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz....Pages 213-258
Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration....Pages 259-336
Robust Portfolio Construction....Pages 337-380
Front Matter....Pages 382-382
Applying Markowitz’s Critical Line Algorithm....Pages 383-400
Factor Models in Portfolio and Asset Pricing Theory....Pages 401-418
Applications of Markowitz Portfolio Theory To Pension Fund Design....Pages 419-438
Global Equity Risk Modeling....Pages 439-480
What Matters Most in Portfolio Construction?....Pages 481-492
Risk Management and Portfolio Optimization for Volatile Markets....Pages 493-508
Front Matter....Pages 510-510
Linking Momentum Strategies with Single-Period Portfolio Models....Pages 511-528
Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with Harry Markowitz....Pages 529-550
Evaluating Hedge Fund Performance: A Stochastic Dominance Approach....Pages 551-564
Front Matter....Pages 510-510
Multiportfolio Optimization: A Natural Next Step....Pages 565-581
Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers: Theory and Evidence....Pages 583-599
Case Closed....Pages 601-619
Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models....Pages 621-648
Distortion Risk Measures in Portfolio Optimization....Pages 649-673
A Benefit from the Modern Portfolio Theory for Japanese Pension Investment....Pages 675-690
Private Valuation of Contingent Claims in a Discrete Time/State Model....Pages 691-710
Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index....Pages 711-732
The Application of Modern Portfolio Theory to Real Estate: A Brief Survey....Pages 733-760
Erratum....Pages E1-E2
Back Matter....Pages 761-791
....