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

Avainsanat: Economics/Management Science, Financial Economics, Quantitative Finance, Finance /Banking