Portfolio Construction: From Alpha/Risk to Portfolio Weights

Lingjie Ma
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Lingjie Ma: University of Illinois at Chicago

Chapter Chapter 7 in Quantitative Investing, 2020, pp 285-337 from Springer

Abstract: Abstract In this chapter, we focus on portfolio construction. In particular, we present details of the classical mean–variance approach, including principles, algorithms, and examples of a long only and a market neutral long-short portfolio. We also discuss backtesting and portfolio performance attribution. We introduce Harry Markowitz who made important contributions to modern portfolio theory. Regarding industry insights, we show how industry practitioners build MV portfolios with practical constraints. For R programming, we discuss the structure of R codes and functions.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-47202-3_7

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DOI: 10.1007/978-3-030-47202-3_7

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