Factor Models in Portfolio and Asset Pricing Theory

The foundation of modern portfolio theory is the mean-variance portfolio selection approach of Markowitz (1952, 1959). We discuss the role of factor models in implementing portfolio selection, defining the nature of systematic risk, and estimating the premium for risk bearing

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Year of publication:	[2011]
Authors:	Connor, Gregory
Other Persons:	Korajczyk, Robert A. (contributor)
Publisher:	[2011]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Notes:	In: HANDBOOK OF PORTFOLIO CONSTRUCTION : CONTEMPORARY APPLICATIONS OF MARKOWITZ TECHNIQUES, pp, 401-418, John Guerard, ed., London: Springer, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 9, 2009 erstellt
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012756612