Factor Models in Portfolio and Asset Pricing Theory

Connor, Gregory; Korajczyk, Robert A.

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

See all articles by Gregory Connor

Gregory Connor

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

Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Date Written: 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 Classification: G10, G11, G12

Suggested Citation: Suggested Citation

Connor, Gregory and Korajczyk, Robert A., Factor Models in Portfolio and Asset Pricing Theory (October 9, 2009). HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010., Available at SSRN: https://ssrn.com/abstract=1139062