Handbook of Portfolio Construction

  • John B. GuerardJr.

Table of contents

  1. Front Matter
    Pages i-xv
  2. Markowitz for the Masses: Portfolio Construction Techniques

  3. Owitz and the Expanding Definition of Risk: Applications of Multi-Factor Risk Models

    1. Front Matter
      Pages 382-382
    2. Andras Niedermayer, Daniel Niedermayer
      Pages 383-400
    3. Gregory Connor, Robert A. Korajczyk
      Pages 401-418
    4. Edwin J. Elton, Martin J. Gruber, Christopher R. Blake
      Pages 419-438
    5. Jose Menchero, Andrei Morozov, Peter Shepard
      Pages 439-480
    6. Dean M. Petrich, Ronald N. Kahn
      Pages 481-492
    7. Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, Frank J. Fabozzi
      Pages 493-508
  4. Applications of Portfolio Construction, Performance Measurement, and Markowitz Data Mining Corrections Tests

    1. Front Matter
      Pages 510-510
    2. John M. Mulvey, Woo Chang Kim, Mehmet Bilgili
      Pages 511-528
    3. Martin W. P. Savelsbergh, Robert A. Stubbs, Dieter Vandenbussche
      Pages 565-581
    4. Robert A. Haugen, Nardin L. Baker
      Pages 601-619
    5. John B. Guerard Jr., Sundaram Chettiappan, GanLin Xu
      Pages 621-648
    6. Ekaterina N. Sereda, Efim M. Bronshtein, Svetozar T. Rachev, Frank J. Fabozzi, Wei Sun, Stoyan V. Stoyanov
      Pages 649-673
    7. Alan J. King, Olga Streltchenko, Yelena Yesha
      Pages 691-710
    8. Springer Science+Business Media, LLC
      Pages E1-E2
  5. Back Matter
    Pages 761-791

About this book


"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


Asset Pricing Futures Investment Mutual Fund Performance Portfolio Portfolio Management Portfolio Model Portfolio Optimization Portfolio Performance Portfolio Selection Portfolio Theory Rating Volatility

Editors and affiliations

  • John B. GuerardJr.
    • 1
  1. 1.McKinley Capital Management, LLCAnchorageUSA

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