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Factor Models in Portfolio and Asset Pricing Theory

  • Gregory Connor
  • Robert A. Korajczyk

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.

Keywords

Factor Model Asset Price Discount Factor Mutual Fund Portfolio Selection 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Economics, Finance and AccountingNational University of IrelandMaynoothIreland

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