【资料名称】：Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques
【资料作者】：John B. Guerard Jr.
【出版社】：    Springer
【简介及目录】：   

Product Details  

• Hardcover: 792 pages
• Publisher:  Springer; 1 edition (December 30, 2009)
• Language: English
• ISBN-10: 0387774386

Product Description   
Portfolio construction is fundamental to the investment managementprocess. In the 1950s, Harry Markowitz demonstrated the benefits ofefficient diversification by formulating a mathematical program forgenerating the "efficient frontier" to summarize optimal trade-offsbetween expected return and risk. TheMarkowitz framework continues to be used as a basis for both practicalportfolio construction and emerging research in financial economics.Such concepts as the Capital Asset Pricing Model (CAPM) and theArbitrage Pricing Theory(APT), for example, provide the foundation for setting benchmarks, forpredicting returns and risk, and for performance measurement. Thisvolume showcases original essays by some of today’s most prominentacademics and practitioners in the field on the contemporaryapplication of Markowitz techniques. Covering a wide spectrum oftopics, including portfolio selection, data mining tests, andmulti-factor risk models,the book presents a comprehensive approach toportfolio construction tools, models, frameworks, and analyses, withboth practical and theoretical implications.

• Putsa contemporary spin on the Markowitz models and techniquesthat haveserved as the foundation for portfolio construction andanalysis forfifty years
• Features prominent academics andpractitioners in the field, includingNobel Prize winners PaulSamuelson, Eli Schwartz (Lehigh University),C.F. Lee (RutgersUniversity), Makoto Suzuki (Daiwa Securities), andJohn Mulvey(Princeton University); also contains a forward by HarryMarkowitz
• Offers comprehensive coverage, including worked examples and practical illustrations of all major tools, models and techniques
• Financialportfolio construction and risk management is a popular topicin MBAprograms and academic research with practical applications inmoneymanagement and corporate strategy; the book blends theory,rigorousquantitative techniques and practice

Table-of-Contents
Part I Markowitz for the Masses: Portfolio Construction Techniques
1 Markowitz for the Masses: The Risk and Return of Equity
and Portfolio Construction Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
John B. Guerard, Jr.
2 Markowitz and the Expanding Definition of Risk:
Applications of Multi-factor Risk Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
John B. Guerard, Jr.
3 Markowitz Applications in the 1990s and the New
Century: DataMining Corrections and the 130/30 .. . . . . . . . . . . . . . . . . . . . . . 61
John B. Guerard, Jr.
4 Markowitz’s Mean–Variance Rule and the Talmudic
Diversification Recommendation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Haim Levy and Ran Duchin
5 On the Himalayan Shoulders of HarryMarkowitz . . . . . . . . . . . . . . . . . . . . . . .125
Paul A. Samuelson
6 Models for Portfolio Revision with Transaction Costs
in the Mean–Variance Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .133
Andrew H. Chen, Frank J. Fabozzi, and Dashan Huang
7 Principles for Lifetime Portfolio Selection: Lessons
from Portfolio Theory . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .153
James H. VanderWeide
8 Harry Markowitz and the Early History
of Quadratic Programming.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .179
Richard W. Cottle and Gerd Infanger
9 Ideas in Asset and Asset–Liability Management
in the Tradition of H.M. Markowitz .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .213
William T. Ziemba
10 Methodologies for Isolating and Assessing the Portfolio
Performance Potential of Stock Return Forecast Models
with an Illustration . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .259
Bernell K. Stone and John B. Guerard, Jr.
11 Robust Portfolio Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .337
R. Douglas Martin, Andrew Clark, and Christopher G. Green

Part II Owitz and the Expanding Definition of Risk: Applications
of Multi-Factor Risk Models
12 Applying Markowitz’s Critical Line Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . .383
Andras Niedermayer and Daniel Niedermayer
13 FactorModels in Portfolio and Asset Pricing Theory . . . . . . . . . . . . . . . . . . . .401
Gregory Connor and Robert A. Korajczyk
14 Applications of Markowitz Portfolio
Theory To Pension Fund Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .419
Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake
15 Global Equity Risk Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439
Jose Menchero, Andrei Morozov, and Peter Shepard
16 What Matters Most in Portfolio Construction? . . . . . . . . . . . . . . . . . . . . . . . . . . .481
Dean M. Petrich and Ronald N. Kahn
17 Risk Management and Portfolio Optimization for Volatile
Markets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..493
Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan
V. Stoyanov, and Frank J. Fabozzi

Part III Applications of Portfolio Construction, Performance
Measurement, and Markowitz DataMining Corrections Tests
18 Linking Momentum Strategies with Single-Period
Portfolio Models . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511
John M. Mulvey,Woo Chang Kim, and Mehmet Bilgili
19 Reflections on Portfolio Insurance, Portfolio Theory,
and Market Simulation with HarryMarkowitz. . . . . . . . . . . . . . . . . . . . . . . . . . .529
Bruce I. Jacobs and Kenneth N. Levy
20 Evaluating Hedge Fund Performance: A Stochastic
Dominance Approach . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .551
Sheng Li and Oliver Linton
21 Multiportfolio Optimization: A Natural Next Step . . . . . . . . . . . . . . . . . . . . . . .565
Martin W.P. Savelsbergh, Robert A. Stubbs, and Dieter
Vandenbussche
22 Alternative Model to Evaluate Selectivity
and Timing Performance of Mutual Fund Managers:
Theory and Evidence . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .583
Cheng-few Lee, Alice C. Lee, and Nathan Liu
23 Case Closed. . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . .601
Robert A. Haugen and Nardin L. Baker
24 Stock-Selection Modeling and Data Mining Corrections:
Long-Only Versus 130/30Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .621
John B. Guerard, Jr., Sundaram Chettiappan, and GanLin Xu
25 Distortion Risk Measures in Portfolio Optimization . . . . . . . . . . . . . . . . . . . . .649
Ekaterina N. Sereda, EfimM. Bronshtein, Svetozar T. Rachev,
Frank J. Fabozzi,Wei Sun, and Stoyan V. Stoyanov
26 A Benefit from the Modern Portfolio Theory
for Japanese Pension Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .675
Makoto Suzuki
27 Private Valuation of Contingent Claims
in a Discrete Time/State Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .691
Alan J. King, Olga Streltchenko, and Yelena Yesha
28 Volatility Timing and Portfolio Construction
Using Realized Volatility for the S&P500 Futures Index. . . . . . . . . . . . . . . . .711
Dimitrios D. Thomakos and Tao Wang
29 The Application of Modern Portfolio
Theory to Real Estate: A Brief Survey . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .733
TimothyW. Viezer
About the Editor and Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .761
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . .777