2010

Handbook of Portfolio Construction

Editors:

ISBN: 978-0-387-77438-1 (Print) 978-0-387-77439-8 (Online)

Table of contents (30 chapters)

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  1. Front Matter

    Pages i-xv

  2. Markowitz for the Masses: Portfolio Construction Techniques

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-30

      Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques

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      Book Chapter

      Pages 31-60

      Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models

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      Book Chapter

      Pages 61-96

      Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30

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      Book Chapter

      Pages 97-123

      Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation

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      Book Chapter

      Pages 125-132

      On the Himalayan Shoulders of Harry Markowitz

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      Book Chapter

      Pages 133-151

      Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework

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      Book Chapter

      Pages 153-177

      Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory

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      Book Chapter

      Pages 179-211

      Harry Markowitz and the Early History of Quadratic Programming

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      Book Chapter

      Pages 213-258

      Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz

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      Book Chapter

      Pages 259-336

      Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration

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      Book Chapter

      Pages 337-380

      Robust Portfolio Construction

  3. Owitz and the Expanding Definition of Risk: Applications of Multi-Factor Risk Models

    1. Front Matter

      Pages 382-382

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      Book Chapter

      Pages 383-400

      Applying Markowitz’s Critical Line Algorithm

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      Book Chapter

      Pages 401-418

      Factor Models in Portfolio and Asset Pricing Theory

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      Book Chapter

      Pages 419-438

      Applications of Markowitz Portfolio Theory To Pension Fund Design

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      Book Chapter

      Pages 439-480

      Global Equity Risk Modeling

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      Book Chapter

      Pages 481-492

      What Matters Most in Portfolio Construction?

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      Book Chapter

      Pages 493-508

      Risk Management and Portfolio Optimization for Volatile Markets

  4. Applications of Portfolio Construction, Performance Measurement, and Markowitz Data Mining Corrections Tests

    1. Front Matter

      Pages 510-510

    2. No Access

      Book Chapter

      Pages 511-528

      Linking Momentum Strategies with Single-Period Portfolio Models

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      Book Chapter

      Pages 529-550

      Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with Harry Markowitz

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      Book Chapter

      Pages 551-564

      Evaluating Hedge Fund Performance: A Stochastic Dominance Approach

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