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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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