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Portfolio Construction: From Alpha/Risk to Portfolio Weights

In: Quantitative Investing

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  • Lingjie Ma

    (University of Illinois at Chicago)

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.

Suggested Citation

  • Lingjie Ma, 2020. "Portfolio Construction: From Alpha/Risk to Portfolio Weights," Springer Books, in: Quantitative Investing, chapter 0, pages 285-337, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-47202-3_7
    DOI: 10.1007/978-3-030-47202-3_7
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