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商品詳細
Handbook of Portfolio Construction : Contemporary Applications of Markowitz Techniques. ポートフォリオ構成ハンドブック －マーコヴィッツ技法の現代的応用－
・ISBN 978-0-387-77438-1 hard EUR 199.99
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| 著者・編者 | Guerard, John B., Jr. (ed.), |
|---|---|
| 出版社 | (Springer, US) |
| 出版年月 | 2010 |
| ページ数 | 791 pp. |
| 言語 | ENG |
| ニュース番号 | ＜568-335＞ |
解説
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today's most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.