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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.

Praise for Modern Portfolio Theory "Francis and Kim review the works of a generation of financial economists and pull these together under a single set of mathematical conventions. Their writing style is easy to read, and the chapters flow logically. The early chapters deal with the original material created by Markowitz, Tobin, and Sharpe whereas succeeding chapters deal with more recent developments. Readers who wish to avoid complex derivations and proofs may do so easily because the book is organized so this rigorous material is in the end-of-chapter appendices and footnotes. This work is comprehensive and accessible, and will reward either classroom or individual study." Harry Markowitz, Nobel Laureate, Professor of Economics and Finance "Professors Francis and Kim review the various models and research findings related to the original Markowitz portfolio theory. They compile many of the derivative works, drilling down on each topic, and, in the final analysis, pull together a unified portfolio theory using a single set of conventions. The Markowitz theory is central to portfolio management, and this book provides a thorough, up-to-date treatment of the topic." Roger Ibbotson, Professor of Finance, Yale University; founder, Ibbotson Associates "Building on the foundation of the original Markowitz portfolio theory and the key derivative works that span the decades since 1952, Professors Francis and Kim have written a unifying, one-of-a-kind book on portfolio analysis. This book is well organized and easy to read. Francis and Kim review the theoretical underpinnings of the seminal models, as well as provide rigorous analyses of real-world applications, advanced mathematics, and empirical tests. In the aftermath of the global financial crisis, finance and risk professionals must do a better job in understanding the theory, applications, and limitations of financial models. This book represents a major contribution in this endeavor." James Lam, author, Enterprise Risk Management; President, James Lam & Associates, Inc.; past Senior Vice President and Chief Risk Manager, Fidelity Investments Modern Portfolio Theory + Website puts an emphasis on practical application. To that end, this book provides readers with access to a companion website filled with supplementary materials, allowing you to continue to learn in a hands-on fashion long after closing the book.