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雷达卡
Guerard, Jr., John B. (Ed.) 2010, XVI, 792 p. 124 illus., Hardcover ISBN: 978-0-387-77438-1
About this book
- 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
--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
Written for:
Research
Keywords:
- Arbitrage Pricing Theory (APT)
- Capital Asset Pricing Model (CAPM)
- Efficient Frontier
- Financial Economics
- Financial Risk
- Investment Mangement
- Markowitz, Harry
- Portfolio Construction
- Price/Earnings (P/E) Ratio
- Quantitative Finance
- Risk and Return
- Sharpe Ratio
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