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Book Chapter

Factor Models in Portfolio and Asset Pricing Theory

  • Connor G
  • Korajczyk R
Springer US, (2010), 401-418
DOI: 10.1007/978-0-387-77439-8_13
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Abstract

The foundation of modern portfolio theory is the mean–variance portfolio selection approach of Markowitz (Journal of Finance 7:77–91, 1952; Portfolio Selection: Efficient Diversification of Investments, Wiley, New York, 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.

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Connor, G., & Korajczyk, R. A. (2010). Factor Models in Portfolio and Asset Pricing Theory. In Handbook of Portfolio Construction (pp. 401–418). Springer US. https://doi.org/10.1007/978-0-387-77439-8_13

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