Factor Models in Portfolio and Asset Pricing Theory
HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010.
22 Pages Posted: 30 May 2008 Last revised: 20 Nov 2011
Date Written: October 9, 2009
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 Classification: G10, G11, G12
Suggested Citation: Suggested Citation