Jack Clark Francis & Dongcheol Kim 
Modern Portfolio Theory 
Foundations, Analysis, and New Developments

A through guide covering Modern Portfolio Theory as well as the
recent developments surrounding it

Modern portfolio theory (MPT), which originated with Harry
Markowitz’s seminal paper ‘Portfolio Selection’ in 1952, has stood
the test of time and continues to be the intellectual foundation
for real-world portfolio management. This book presents a
comprehensive picture of MPT in a manner that can be effectively
used by financial practitioners and understood by students.

Modern Portfolio Theory provides a summary of the
important findings from all of the financial research done since
MPT was created and presents all the MPT formulas and models using
one consistent set of mathematical symbols. Opening with an
informative introduction to the concepts of probability and utility
theory, it quickly moves on to discuss Markowitz’s seminal work on
the topic with a thorough explanation of the underlying
mathematics.

* Analyzes portfolios of all sizes and types, shows how the
advanced findings and formulas are derived, and offers a concise
and comprehensive review of MPT literature

* Addresses logical extensions to Markowitz’s work, including the
Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio
ranking models, and performance attribution

* Considers stock market developments like decimalization, high
frequency trading, and algorithmic trading, and reveals how they
align with MPT

* Companion Website contains Excel spreadsheets that allow you to
compute and graph Markowitz efficient frontiers with riskless and
risky assets

If you want to gain a complete understanding of modern portfolio
theory this is the book you need to read.

Mengenai Pengarang

JACK CLARK FRANCIS is Professor of Economics and Finance at Bernard M. Baruch College in New York City. His research focuses on investments, banking, and monetary economics, and he has had dozens of articles published in many refereed academic, business, and government journals. Dr. Francis was an assistant professor of finance at the University of Pennsylvania’s Wharton School of Finance for five years and was a Federal Reserve economist for two years. He received his bachelor’s and MBA from Indiana University and earned his Ph D in finance from the University of Washington in Seattle.

DONGCHEOL KIM is a Professor of Finance at Korea University in Seoul. He served as president of the Korea Securities Association and editor-in-chief of the Asia-Pacific Journal of Financial Studies. Previously, he was a finance professor at Rutgers University. Kim has published articles in Financial Management, the Accounting Review, Journal of Financial and Quantitative Analysis, Journal of Economic Research, Journal of Finance, and Journal of the Futures Market.