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.
Gregory Connor, Robert Korajczyk
Connor, Gregory, and Robert Korajczyk. 2010. Factor Models in Portfolio and Asset Pricing Theory.