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Handbook of Portfolio Construction

Contemporary Applications of Markowitz Techniques

Editors: Guerard Jr., John B. (Ed.)

  • Puts a contemporary spin on the Markowitz models and techniques that have served as the foundation for portfolio construction and analysis for fifty years
  • Features prominent academics and practitioners in the field, including Nobel Prize winners Paul Samuelson, Eli Schwartz (Lehigh University), C.F. Lee (Rutgers University), Makoto Suzuki (Daiwa Securities), and John Mulvey (Princeton University); also contains a forward by Harry Markowitz
  • Offers comprehensive coverage, including worked examples and practical illustrations of all major tools, models and techniques
  • Financial portfolio construction and risk management is a popular topic in MBA programs and academic research with practical applications in money management and corporate strategy; the book blends theory, rigorous quantitative techniques and practice
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eBook $229.00
price for USA (gross)
  • ISBN 978-0-387-77439-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $299.00
price for USA
  • ISBN 978-0-387-77438-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $299.00
price for USA
  • ISBN 978-1-4899-8302-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

"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

About the authors

John B. Guerard, Jr., Ph.D., is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska. He earned his AB in Economics from Duke University, MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. John taught at the McIntire School of Commerce, the University of Virginia, Lehigh University, and Rutgers University. John taught as an adjunct faculty member at the International University of Monaco and the University of Pennsylvania. He worked with the DAIS Group at Drexel, Burnham, Lambert, Daiwa Securities Trust Company, Vantage Global Advisors, and served on the Virtual Research team at GlobeFlex Capital. John co-managed a Japanese equity portfolio with Harry Markowitz at Daiwa Securities Trust Company. While serving as Director of Quantitative Research at Vantage Global Advisors (formerly MPT Associates), Mr. Guerard was awarded the first Moskowitz Prize for research in socially responsible investing. Mr. Guerard has published several monographs, including The Handbook of Financial Modeling (Probus, 1989, with H.T. Vaught), Corporate Financial Policy and R&D Management (Wiley, 2006, second edition), and Quantitative Corporate Finance (Springer, 2007, with Eli Schwartz). John serves an Associate Editor of the Journal of Investing and The International Journal of Forecasting. Mr. Guerard has published research in The International Journal of Forecasting, Management Science, the Journal of Forecasting, Journal of Investing, Research in Finance, Research Policy, and the Journal of the Operational Research Society.

Reviews

From the reviews:

“The handbook is a peer-reviewed collection of papers on research and practical advances of portfolio construction management and measurement analysis that followed the first rigorous method for selecting optimal portfolios presented by Harry Markowitz more than half of a century ago. … The handbook provides a valuable coverage of the rich developments in the field of portfolio construction management, that every professional investment manager may find useful and applicable to his/her particular interests.” (Christina Diakaki, Zentralblatt MATH, Vol. 1192, 2010)

Table of contents (30 chapters)

  • Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques

    Guerard, John B.

    Pages 3-30

  • Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models

    Guerard, John B.

    Pages 31-60

  • Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30

    Guerard, John B.

    Pages 61-96

  • Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation

    Levy, Haim (et al.)

    Pages 97-123

  • On the Himalayan Shoulders of Harry Markowitz

    Samuelson, Paul A.

    Pages 125-132

Buy this book

eBook $229.00
price for USA (gross)
  • ISBN 978-0-387-77439-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $299.00
price for USA
  • ISBN 978-0-387-77438-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $299.00
price for USA
  • ISBN 978-1-4899-8302-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Handbook of Portfolio Construction
Book Subtitle
Contemporary Applications of Markowitz Techniques
Editors
  • John B. Guerard Jr.
Copyright
2010
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-77439-8
DOI
10.1007/978-0-387-77439-8
Hardcover ISBN
978-0-387-77438-1
Softcover ISBN
978-1-4899-8302-2
Edition Number
1
Number of Pages
XVI, 794
Topics