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