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Factor Models in Portfolio and Asset Pricing Theory

Gregory Connor
London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Robert A. Korajczyk
Northwestern University - Kellogg School of Management

October 9, 2009


Abstract:     
The foundation of modern portfolio theory is the mean-variance portfolio selection approach of Markowitz (1952, 1959). We discuss the role of factor models in implementing portfolio selection, defining the nature of systematic risk, and estimating the premium for risk bearing.

Keywords: Asset Pricing, Portfolio Theory, Factor Models

JEL Classifications: G10, G11, G12

Working Paper Series

Date posted: May 30, 2008 ; Last revised: October 12, 2009

Suggested Citation

Connor, Gregory and Korajczyk, Robert A., Factor Models in Portfolio and Asset Pricing Theory (October 9, 2009). Available at SSRN: http://ssrn.com/abstract=1139062


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Contact Information

Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
Gregory Connor
London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )
Houghton Street
London WC2A 2AE United Kingdom
+44 702 955-6407 (Phone)
+44 702 955-7420 (Fax)
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