Handbook of Portfolio Construction - John B. Guerard - 2010 - Book Information

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Contents
Part I Markowitz for the Masses: Portfolio Construction Techniques
1 Markowitz for the Masses: The Risk and Return of Equity
and Portfolio Construction Techniques . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
John B. Guerard, Jr.
2 Markowitz and the Expanding Definition of Risk:
Applications of Multi-factor Risk Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
John B. Guerard, Jr.
3 Markowitz Applications in the 1990s and the New
Century: DataMining Corrections and the 130/30 .. . . . . . . . . . . . . . . . . . . . . . 61
John B. Guerard, Jr.
4 Markowitz’s Mean–Variance Rule and the Talmudic
Diversification Recommendation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97
Haim Levy and Ran Duchin
5 On the Himalayan Shoulders of HarryMarkowitz . . . . . . . . . . . . . . . . . . . . . . .125
Paul A. Samuelson
6 Models for Portfolio Revision with Transaction Costs
in the Mean–Variance Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .133
Andrew H. Chen, Frank J. Fabozzi, and Dashan Huang
7 Principles for Lifetime Portfolio Selection: Lessons
from Portfolio Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .153
James H. VanderWeide
8 Harry Markowitz and the Early History
of Quadratic Programming.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .179
Richard W. Cottle and Gerd Infanger
9 Ideas in Asset and Asset–Liability Management
in the Tradition of H.M. Markowitz .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .213
William T. Ziemba
10 Methodologies for Isolating and Assessing the Portfolio
Performance Potential of Stock Return Forecast Models
with an Illustration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .259
Bernell K. Stone and John B. Guerard, Jr.
11 Robust Portfolio Construction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .337
R. Douglas Martin, Andrew Clark, and Christopher G. Green
Part II Owitz and the Expanding Definition of Risk: Applications
of Multi-Factor Risk Models
12 Applying Markowitz’s Critical Line Algorithm . . . . . . . . . . . . . . . . . . . . . . . . . . .383
Andras Niedermayer and Daniel Niedermayer
13 FactorModels in Portfolio and Asset Pricing Theory . . . . . . . . . . . . . . . . . . . .401
Gregory Connor and Robert A. Korajczyk
14 Applications of Markowitz Portfolio
Theory To Pension Fund Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .419
Edwin J. Elton, Martin J. Gruber, and Christopher R. Blake
15 Global Equity Risk Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .439
Jose Menchero, Andrei Morozov, and Peter Shepard
16 What Matters Most in Portfolio Construction? . . . . . . . . . . . . . . . . . . . . . . . . . . .481
Dean M. Petrich and Ronald N. Kahn
17 Risk Management and Portfolio Optimization for Volatile
Markets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .493
Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan
V. Stoyanov, and Frank J. Fabozzi
Part III Applications of Portfolio Construction, Performance
Measurement, and Markowitz DataMining Corrections Tests
18 Linking Momentum Strategies with Single-Period
Portfolio Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .511
John M. Mulvey,Woo Chang Kim, and Mehmet Bilgili
19 Reflections on Portfolio Insurance, Portfolio Theory,
and Market Simulation with HarryMarkowitz. . . . . . . . . . . . . . . . . . . . . . . . . . .529
Bruce I. Jacobs and Kenneth N. Levy
20 Evaluating Hedge Fund Performance: A Stochastic
Dominance Approach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .551
Sheng Li and Oliver Linton
21 Multiportfolio Optimization: A Natural Next Step . . . . . . . . . . . . . . . . . . . . . . .565
Martin W.P. Savelsbergh, Robert A. Stubbs, and Dieter
Vandenbussche
22 Alternative Model to Evaluate Selectivity
and Timing Performance of Mutual Fund Managers:
Theory and Evidence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .583
Cheng-few Lee, Alice C. Lee, and Nathan Liu
23 Case Closed. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .601
Robert A. Haugen and Nardin L. Baker
24 Stock-Selection Modeling and Data Mining Corrections:
Long-Only Versus 130/30Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .621
John B. Guerard, Jr., Sundaram Chettiappan, and GanLin Xu
25 Distortion Risk Measures in Portfolio Optimization . . . . . . . . . . . . . . . . . . . . .649
Ekaterina N. Sereda, EfimM. Bronshtein, Svetozar T. Rachev,
Frank J. Fabozzi,Wei Sun, and Stoyan V. Stoyanov
26 A Benefit from the Modern Portfolio Theory
for Japanese Pension Investment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .675
Makoto Suzuki
27 Private Valuation of Contingent Claims
in a Discrete Time/State Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .691
Alan J. King, Olga Streltchenko, and Yelena Yesha
28 Volatility Timing and Portfolio Construction
Using Realized Volatility for the S&P500 Futures Index. . . . . . . . . . . . . . . . .711
Dimitrios D. Thomakos and Tao Wang
29 The Application of Modern Portfolio
Theory to Real Estate: A Brief Survey . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .733
TimothyW. Viezer
About the Editor and Contributors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .761
Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 777