Jr., John B. Guerard,
Handbook of Portfolio Construction
1. Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques
John B. Guerard
2. Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models
John B. Guerard
3. Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30
John B. Guerard
4. Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation
Haim Levy, Ran Duchin
5. On the Himalayan Shoulders of Harry Markowitz
Paul A. Samuelson
6. Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework
Andrew H. Chen, Frank J. Fabozzi, Dashan Huang
7. Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory
James H. Vander Weide
8. Harry Markowitz and the Early History of Quadratic Programming
Richard W. Cottle, Gerd Infanger
9. Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz
William T. Ziemba
10. Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration
Bernell K. Stone, John B. Guerard
11. Robust Portfolio Construction
R. Douglas Martin, Andrew Clark, Christopher G. Green
12. Applying Markowitz’s Critical Line Algorithm
Andras Niedermayer, Daniel Niedermayer
13. Factor Models in Portfolio and Asset Pricing Theory
Gregory Connor, Robert A. Korajczyk
14. Applications of Markowitz Portfolio Theory To Pension Fund Design
Edwin J. Elton, Martin J. Gruber, Christopher R. Blake
15. Global Equity Risk Modeling
Jose Menchero, Andrei Morozov, Peter Shepard
16. What Matters Most in Portfolio Construction?
Dean M. Petrich, Ronald N. Kahn
17. Risk Management and Portfolio Optimization for Volatile Markets
Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, Frank J. Fabozzi
18. Linking Momentum Strategies with Single-Period Portfolio Models
John M. Mulvey, Woo Chang Kim, Mehmet Bilgili
19. Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with Harry Markowitz
Bruce I. Jacobs, Kenneth N. Levy
20. Evaluating Hedge Fund Performance: A Stochastic Dominance Approach
Sheng Li, Oliver Linton
21. Multiportfolio Optimization: A Natural Next Step
Martin W. P. Savelsbergh, Robert A. Stubbs, Dieter Vandenbussche
22. Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers: Theory and Evidence
Cheng-few Lee, Alice C. Lee, Nathan Liu
23. Case Closed
Robert A. Haugen, Nardin L. Baker
24. Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models
John B. Guerard, Sundaram Chettiappan, GanLin Xu
25. Distortion Risk Measures in Portfolio Optimization
Ekaterina N. Sereda, Efim M. Bronshtein, Svetozar T. Rachev, Frank J. Fabozzi, Wei Sun, Stoyan V. Stoyanov
26. A Benefit from the Modern Portfolio Theory for Japanese Pension Investment
Makoto Suzuki
27. Private Valuation of Contingent Claims in a Discrete Time/State Model
Alan J. King, Olga Streltchenko, Yelena Yesha
28. Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index
Dimitrios D. Thomakos, Tao Wang
29. The Application of Modern Portfolio Theory to Real Estate: A Brief Survey
Timothy W. Viezer
Keywords: Economics/Management Science, Financial Economics, Quantitative Finance, Finance /Banking
- Author(s)
- Jr., John B. Guerard,
- Publisher
- Springer
- Publication year
- 2010
- Language
- en
- Edition
- 1
- Page amount
- 15 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9780387774398