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Factor Models in Portfolio and Asset Pricing TheoryGregory ConnorLondon School of Economics & Political Science (LSE) - Department of Accounting and Finance Robert A. KorajczykNorthwestern 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. 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.
Number of Pages in PDF File: 22 Keywords: Asset Pricing, Portfolio Theory, Factor Models JEL Classification: G10, G11, G12 Accepted Paper SeriesDate posted: May 30, 2008 ; Last revised: November 20, 2011Suggested CitationContact Information
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