Portfolio Construction, Measurement, and Efficiency

Essays in Honor of Jack Treynor

  • John B. Guerard, Jr.

Table of contents

  1. Front Matter
    Pages i-xxxiii
  2. Ravi Jagannathan, Robert A. Korajczyk
    Pages 49-71
  3. Phoebus J. Dhrymes, John B. Guerard
    Pages 73-110
  4. Marshall E. Blume, Mustafa N. Gültekin, N. Bülent Gültekin
    Pages 111-134
  5. Xiaoxia Lou, Ronnie Sadka
    Pages 135-153
  6. Barret Pengyuan Shao
    Pages 155-168
  7. Noah Beck, Shingo Goto, Jason Hsu, Vitali Kalesnik
    Pages 229-238
  8. Sebastián Ceria, Kartik Sivaramakrishnan, Robert A. Stubbs
    Pages 257-274
  9. Richard A. Brealey, Ian A. Cooper, Evi Kaplanis
    Pages 291-313
  10. Ganlin Xu, Harry Markowitz, Minyee Wang, John B. Guerard
    Pages 315-329
  11. Sebastien Lleo, William T. Ziemba
    Pages 389-420
  12. Jonathan B. Berk, Jules H. van Binsbergen
    Pages 421-430

About this book


This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured.  In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market?

Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency.  Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models.  Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics.

This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets.  The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.


Efficient Markets Investment Portfolio Jack Treynor Market Timing Performance Measurement Portfolio Construction Risk Management

Editors and affiliations

  • John B. Guerard, Jr.
    • 1
  1. 1.McKinley Capital ManagementAnchorageUSA

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2017
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-33974-0
  • Online ISBN 978-3-319-33976-4
  • Buy this book on publisher's site