Factor Models in Portfolio and Asset Pricing Theory
London School of Economics & Political Science (LSE) - Department of Accounting and Finance
Robert A. Korajczyk
Northwestern University - Kellogg School of Management
October 9, 2009
HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010.
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.
Number of Pages in PDF File: 22
Keywords: Asset Pricing, Portfolio Theory, Factor Models
JEL Classification: G10, G11, G12
Date posted: May 30, 2008 ; Last revised: November 20, 2011
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