Handbook of portfolio construction: contemporary applications of Markowitz techniques

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 portfolioconstruction 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 originalessays 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. INDICE: Preface.- Introduction.- Mean variance versus naive diversification.- Further thoughts on efficient portfolio selection and diversification', -On optimal portfolio revisions.- portfolio selection in three moments.- Modern portfolio theory, robustness, fat tails and the downside risk.- The CAPM, multi-factor risk models, and the arbitrage pricing theory.- Estimating and applying an APT model: The case of TAR.- Active portfolio management and tracking errors.- Applying Markowitz’s critical line algorithm.- Income distribution and the investment decision.- Applications of portfolio optimization.- Further evidence on Japanese and US portfolio construction techniques.- Volatility timingand portfolio construction using realized volatility.- Re-visiting mutual fund performance analysis.- Benefit from modern portfolio theory for Japanese investor.- Further evidence on data mining.- Conclusion.- Glossary.- Bibliography.- Index.

• ISBN: 978-0-387-77438-1
• Editorial: Springer
• Encuadernacion: Cartoné
• Páginas: 550
• Fecha Publicación: 01/12/2009
• Nº Volúmenes: 1
• Idioma: Inglés