Handbook of Portfolio Construction

• Corporate Author: SpringerLink (Online service)
• Other Authors: Guerard, John B. (Editor)
• Format: Electronic
• Language: English
• Published: Boston, MA : Springer US, 2010.
• Subjects: Economics.; Finance.; Banks and banking.; Economics/Management Science.; Financial Economics.; Quantitative Finance.; Finance /Banking.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-0-387-77439-8

"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 techni...

Table of Contents:

• 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 Markowitzs 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.