Portfolio Management
Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques

Authors: Editor: John B. Guerard, Jr.
Editions: Springer
Pages: 792 pages
Date: December 2009
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.

Stoyan V. Stoyanov, Professor of Finance at EDHEC Business School and Programme Director of the EDHEC-Risk Institute Executive MSc in Risk and Investment Management for Asia, has co-authored two chapters in the publication:
  • Risk Management and Portfolio Optimization for Volatile Markets
    Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, and Frank J. Fabozzi

  • Distortion Risk Measures in Portfolio Optimization
    Ekaterina N. Sereda, Efim M. Bronshtein, Svetozar T. Rachev, Frank J. Fabozzi, Wei Sun, and Stoyan V. Stoyanov

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