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Book Chapter
Factor Models in Portfolio and Asset Pricing Theory
Author(s)
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.
Date Published:
2010
Citations:
Connor, Gregory, Robert Korajczyk. 2010. Factor Models in Portfolio and Asset Pricing Theory.