From the Back Cover
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the practical application of the Markowitz techniques to portfolio construction."
--Burton G. Malkiel, author of A Random Walk Down Wall Street
"Harry Markowitz revolutionized investment management more than a half-century ago by presenting the first rigorous method for selecting 'optimal' portfolios. This Handbook is an invaluable collection that encapsulates subsequent research and practical advances in portfolio optimization. Today, some variant of Markowitz' formulation is followed by the vast majority of sophisticated investment managers while various related concepts such as the 'Sharpe Ratio' are widely employed to judge performance. Included herein are chapters by many of the most notable scholars that have added to Markowitz' original formulation. Some chapters present particular refinements that account for complexities introduced by transaction costs, multiple periods, fat-tailed return distributions, higher moments (such as skewness), multiple risk factors, and recalcitrant data. Other chapters illustrate Markowitz-like techniques in specific applications such as hedge funds, pension funds, and real estate. Every professional investment manager is certain to find chapters with immediate application to his or her particular problem of the moment. It will be, I predict, one of the most used reference volumes in the investment management industry."
--Richard Roll, Japan Alumni Chair in Finance, UCLA Anderson School of Management
"Before Markowitz, 'finance' referred to financial accounting. But he showed us how to quantify uncertainty. The papers in this book demonstrate how far modern finance has come since he inventedit."
--Jack Treynor, President, Treynor Capital Management, and author of Treynor on Institutional Investing
John B. Guerard, Jr., Ph.D., is Director of Quantitative Research at McKinley Capital Management, in Anchorage, Alaska. He earned his AB in Economics from Duke University, MA in Economics from the University of Virginia, MSIM from the Georgia Institute of Technology, and Ph.D. in Finance from the University of Texas, Austin. John taught at the McIntire School of Commerce, the University of Virginia, Lehigh University, and Rutgers University. John taught as an adjunct faculty member at the International University of Monaco and the University of Pennsylvania. He worked with the DAIS Group at Drexel, Burnham, Lambert, Daiwa Securities Trust Company, Vantage Global Advisors, and served on the Virtual Research team at GlobeFlex Capital. John co-managed a Japanese equity portfolio with Harry Markowitz at Daiwa Securities Trust Company. While serving as Director of Quantitative Research at Vantage Global Advisors (formerly MPT Associates), Mr. Guerard was awarded the first Moskowitz Prize for research in socially responsible investing. Mr. Guerard has published several monographs, including The Handbook of Financial Modeling (Probus, 1989, with H.T. Vaught), Corporate Financial Policy and R&D Management (Wiley, 2006, second edition), and Quantitative Corporate Finance (Springer, 2007, with Eli Schwartz). John serves an Associate Editor of the Journal of Investing and The International Journal of Forecasting. Mr. Guerard has published research in The International Journal of Forecasting, Management Science, the Journal of Forecasting, Journal of Investing, Research in Finance, Research Policy, and the Journal of the Operational Research Society.
