© 2010

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

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

About the editors

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.

Bibliographic information

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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)