Handbook of Portfolio Construction

Table of Contents

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   Book Overview
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   Chapter 1 Markowitz for the Masses: The Risk and Return of Equity and Portfolio Construction Techniques
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   Chapter 2 Markowitz and the Expanding Definition of Risk: Applications of Multi-factor Risk Models
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   Chapter 3 Markowitz Applications in the 1990s and the New Century: Data Mining Corrections and the 130/30
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   Chapter 4 Markowitz’s Mean–Variance Rule and the Talmudic Diversification Recommendation
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   Chapter 5 On the Himalayan Shoulders of Harry Markowitz
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   Chapter 6 Models for Portfolio Revision with Transaction Costs in the Mean–Variance Framework
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   Chapter 7 Principles for Lifetime Portfolio Selection: Lessons from Portfolio Theory
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   Chapter 8 Harry Markowitz and the Early History of Quadratic Programming
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    Chapter 9 Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz
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    Chapter 10 Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration
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    Chapter 11 Robust Portfolio Construction
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    Chapter 12 Applying Markowitz’s Critical Line Algorithm
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    Chapter 13 Factor Models in Portfolio and Asset Pricing Theory
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    Chapter 14 Applications of Markowitz Portfolio Theory To Pension Fund Design
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    Chapter 15 Global Equity Risk Modeling
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    Chapter 16 What Matters Most in Portfolio Construction?
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    Chapter 17 Risk Management and Portfolio Optimization for Volatile Markets
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    Chapter 18 Linking Momentum Strategies with Single-Period Portfolio Models
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    Chapter 19 Reflections on Portfolio Insurance, Portfolio Theory, and Market Simulation with Harry Markowitz
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    Chapter 20 Evaluating Hedge Fund Performance: A Stochastic Dominance Approach
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    Chapter 21 Multiportfolio Optimization: A Natural Next Step
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    Chapter 22 Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers: Theory and Evidence
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    Chapter 23 Case Closed
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    Chapter 24 Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models
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    Chapter 25 Distortion Risk Measures in Portfolio Optimization
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    Chapter 26 A Benefit from the Modern Portfolio Theory for Japanese Pension Investment
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    Chapter 27 Private Valuation of Contingent Claims in a Discrete Time/State Model
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    Chapter 28 Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index
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    Chapter 29 The Application of Modern Portfolio Theory to Real Estate: A Brief Survey
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    Chapter 30 Erratum