Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques [Hardcover]

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 portfolio construction 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 original essays by some of todays 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.

Markowitz for the Masses: Portfolio Construction Techniques.- Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques.- Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models.- Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30.- Markowitzs MeanVariance Rule and the Talmudic Diversification Recommendation.- On the Himalayan Shoulders of Harry Markowitz.- Models for Portfolio Revision with Transaction Costs in the MeanVariance Framework.- Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory.- Harry Markowitz and the Early History of Quadratic Programming.- Ideas in Asset and AssetLiability Management in the Tradition of H.M. Markowitz.- Methodologies for Isolating and Assessing the Portfolio Performance PotentiallË