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100507s2010 xxu| s |||| 0|eng d |
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|a 9780387774398
|9 978-0-387-77439-8
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|a 10.1007/978-0-387-77439-8
|2 doi
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|a HG1-9999
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|a 332
|2 23
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|a Guerard, John B.
|e editor.
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|a Handbook of Portfolio Construction
|c edited by John B. Guerard.
|h [electronic resource] /
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| 264 |
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1 |
|a Boston, MA :
|b Springer US,
|c 2010.
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| 300 |
# |
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|b online resource.
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| 336 |
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
|b cr
|2 rdacarrier
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|a text file
|b PDF
|2 rda
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|a Preface -- Introduction -- Mean variance versus naive diversification -- Further thoughts on efficient portfolio selection and diversification", -On optimal portfolio revisions -- portfolio selection in three moments -- Modern portfolio theory, robustness, fat tails and the downside risk -- The CAPM, multi-factor risk models, and the arbitrage pricing theory -- Estimating and applying an APT model: The case of TAR -- Active portfolio management and tracking errors -- Applying Markowitz s critical line algorithm -- Income distribution and the investment decision -- Applications of portfolio optimization -- Further evidence on Japanese and US portfolio construction techniques -- Volatility timing and portfolio construction using realized volatility -- Re-visiting mutual fund performance analysis -- Benefit from modern portfolio theory for Japanese investor -- Further evidence on data mining -- Conclusion -- Glossary -- Bibliography -- Index.
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| 520 |
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|a "Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction." --Burton G. Malkiel, author of A Random Walk Down Wall Street "Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting optimal portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the Sharpe Ratio are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry." --Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management "Before Markowitz, finance referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he invented it." --Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
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| 650 |
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|a Economics.
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| 650 |
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|a Finance.
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| 650 |
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|a Banks and banking.
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| 650 |
1 |
4 |
|a Economics/Management Science.
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| 650 |
2 |
4 |
|a Financial Economics.
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| 650 |
2 |
4 |
|a Quantitative Finance.
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| 650 |
2 |
4 |
|a Finance /Banking.
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| 710 |
2 |
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|a SpringerLink (Online service)
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| 773 |
0 |
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|t Springer eBooks
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| 776 |
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8 |
|i Printed edition:
|z 9780387774381
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| 856 |
4 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-0-387-77439-8
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| 912 |
# |
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|a ZDB-2-SBE
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| 950 |
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|a Business and Economics (Springer-11643)
|