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Handbook of Portfolio Construction pp 401–418Cite as

Factor Models in Portfolio and Asset Pricing Theory

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Abstract

The foundation of modern portfolio theory is the mean–variance portfolio selection approach of Markowitz (Journal of Finance 7:77–91, 1952; Portfolio Selection: Efficient Diversification of Investments, Wiley, New York, 1959). We discuss the role of factor models in implementing portfolio selection, defining the nature of systematic risk, and estimating the premium for risk bearing.

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Authors and Affiliations

  1. Department of Economics, Finance and Accounting, National University of Ireland, Maynooth, County Kildare, Ireland

    Gregory Connor & Robert A. Korajczyk

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  1. Gregory Connor
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  2. Robert A. Korajczyk
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Correspondence to Gregory Connor .

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Editors and Affiliations

  1. McKinley Capital Management, LLC, 3301 C. Street, Anchorage, AK, 99503, USA

    John B. Guerard Jr.

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Connor, G., Korajczyk, R.A. (2010). Factor Models in Portfolio and Asset Pricing Theory. In: Guerard, J.B. (eds) Handbook of Portfolio Construction. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-77439-8_13

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