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.
"
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 inventedit."
--Jack Treynor, President, Treynor Capital Management, and author of
Treynor on Institutional Investing
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)
